Chinese Stock Screen Using Ten-Day Return, Amplitude, Scale, and Valuation

Summary

This Chinese stock-selection note describes a screen using price amplitude above one percent, company scale above 200 million, and a ten-day return greater than zero but below 35 percent. Its expanded version also requires a positive price-to-earnings ratio below 50. The accompanying discussion presents amplitude as a measure of movement, company scale as a rough business-size proxy, and recent return as a short-term trend filter. It includes example screening logic and a Python sketch for applying the conditions to stock data.

The author cautions that recent returns alone can omit fundamentals and market pricing, while broad or conflicting filters can produce an unfocused selection. Suggested refinements include fundamental checks, relative strength, valuation measures, and prioritizing conditions. The note supplies no performance study or comparison with a benchmark. Its code examples also use inconsistent definitions for scale and amplitude, and their precise interpretation should be checked before relying on the screen.

Key ideas

• The screen combines amplitude, company scale, and a bounded ten-day price return.
• The expanded rule adds a positive price-to-earnings ratio below 50.
• The discussion notes that short-term returns can omit fundamental and valuation information.
• The examples provide implementation sketches but use inconsistent definitions for some conditions.
• No backtest or measured performance evidence is reported.

Tags

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