Chinese Stock Screen Using Volatility, Ten-Day Returns, and Float Size

Summary

This Chinese stock-selection post describes a screen requiring daily price amplitude above 1%, a positive ten-day return below 35%, and circulating shares no greater than 5.5 billion. Its accompanying indicator formula and Python example show how to express those conditions using recent prices and float data. The code also sorts selected stocks by a heat index, though the selection rules themselves do not explain how that measure is calculated.

The post frames amplitude as a source of both risk and opportunity, the return band as a way to exclude flat or sharply risen stocks, and the float cap as a way to avoid the largest share counts. It offers no backtest results or evidence that these filters improve returns. It cautions that incomplete or poor-quality data can affect selections, historical behavior does not guarantee future performance, and float size is not a measure of company quality. It suggests adding other indicators and diversifying, but does not specify validation or position-sizing rules.

Key ideas

• The screen selects stocks with daily amplitude above 1% and positive ten-day returns below 35%.
• It limits eligible stocks to those with circulating shares of 5.5 billion or fewer.
• The sample implementation ranks qualifying stocks by a heat index after applying the filters.
• The post warns that data quality and reliance on historical prices can limit the screen.
• The author suggests adding other indicators and diversifying, without providing test results.

Tags

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