Chinese Stock Screen Using Price Range, Dividend Yield, and Bid–Ask Volume

Summary

This note describes a Chinese equity screen combining daily price amplitude above 1%, a stated 2019 dividend ratio above 25%, and first-level bid volume greater than first-level ask volume. It presents amplitude as a volatility filter, the dividend condition as a way to identify higher-yielding companies, and the order-book comparison as a rough indication of buying interest. The rules are framed as support for selecting stocks for medium-term trading.

The article gives formula and Python examples but no backtest, performance results, or evidence that the filters predict returns. It cautions that price and order-flow measures omit important company fundamentals and can be affected by market sentiment. It suggests adding valuation and technical measures and adjusting parameters to market conditions. The dividend field’s period and the implementation of the proposed extra filters would need careful verification before use.

Key ideas

• The screen combines price amplitude above 1%, a 2019 dividend ratio above 25%, and greater best-bid than best-ask volume.
• The article interprets amplitude as a volatility filter and bid–ask volume imbalance as a sign of buying interest.
• It proposes using the combined criteria to find candidates for medium-term trading.
• The article supplies example formulas but reports no tested performance.
• It warns that the filters omit company fundamentals and may be sensitive to market sentiment.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.