Chinese Stock Screening by Amplitude, Control Change, and Turnover

Summary

This note describes a Chinese equity screen using daily amplitude above 1, a controlling-shareholder measure above 21, and turnover between 3% and 12%. It presents these filters as a way to find active, tradable stocks while avoiding names that are either too quiet or unusually crowded. It also provides formula and Python examples for selecting securities.

The screen does not include company fundamentals or broad market risk controls. The author cautions that low liquidity can make entry and exit difficult, and recommends adding market heat, capital flows, fundamental measures, and other technical indicators. No backtest results or evidence of performance are supplied, so the thresholds should be treated as a screening proposal rather than a validated trading strategy.

Key ideas

• The screen combines amplitude, controlling-shareholder activity, and a bounded turnover range.
• The proposed turnover band is intended to balance tradability against excessive popularity.
• The examples show how the conditions can be encoded in screening formulas and Python.
• The method omits fundamentals and risk controls, and the document provides no performance evidence.

Tags

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