Chinese Stock Screening by Amplitude, Control, and Turnover

Summary

This post describes a short-term Chinese equity screen requiring price amplitude above 1, prior-day indicators of large-player control, and prior-day turnover above 8%. It interprets amplitude as a measure of movement, the control indicator as a proxy for capital flows, and turnover as a sign of trading activity. The post also gives example formulas and a sample data-selection workflow, though the formula descriptions are not fully consistent with the stated conditions.

No backtest or performance evidence is provided. The author cautions that the screen may be tied to short-lived market conditions, may exclude promising stocks, and may concentrate holdings because it relies on a narrow set of filters. Suggested improvements include adding fundamental, technical, and valuation measures and applying risk controls. The criteria are presented as a selection idea, not as a validated source of returns.

Key ideas

• The proposed screen combines amplitude above 1, prior-day large-player control, and turnover above 8%.
• The post treats amplitude, control, and turnover as proxies for volatility, capital flows, and activity.
• The author warns that short-term conditions may make the screen unreliable over longer periods.
• A narrow set of filters may exclude candidates or concentrate a portfolio.
• The post recommends adding other signals and risk controls, but reports no empirical validation.

Tags

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