Chinese Stock Screen Using Volatility, Dividends, and Recent Price Spikes
Summary
The document proposes a Chinese equity screen combining a range-based volatility condition, a high dividend ratio for a specified year, and at least one large daily price gain during the recent 25 trading sessions. It gives both a narrative description and sample formula and Python logic for filtering stocks. The stated rationale is to consider price movement, dividends, and recent trading opportunities together.
The article cautions that relying on a small set of conditions can lead to chasing prices and losses, especially in a weak market. It suggests adding valuation measures such as price-to-earnings and price-to-book ratios. No backtest results, selection performance, or validation are reported. The written thresholds and sample code do not align cleanly in every detail, so the screen would need careful review before use.
Key ideas
- The screen combines a volatility condition, a past-year dividend ratio, and a recent large daily gain.
- It looks for at least one qualifying price increase within the previous 25 trading sessions.
- The article warns that the momentum component can encourage buying after sharp gains.
- It recommends adding valuation measures, but provides no evidence that the proposed screen is profitable.
- Some thresholds and implementation details differ between the description and examples.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.