Chinese Stock Screening by Amplitude, Control Measure, and Prior-Day Turnover

Summary

This document presents a Chinese stock screen combining three conditions: daily price amplitude above 1, a current-day control measure above 21, and prior-day trading value above 60 million. It describes amplitude as a volatility filter, the control measure as an indicator of capital activity, and turnover value as a way to focus on more actively traded shares. Formula and Python examples are included to illustrate how the conditions might be implemented, though the examples use differing scales and data fields that would need careful verification.

The post does not report a backtest or performance evidence. It warns that the rules emphasize recent price action and may omit company fundamentals, and that risk controls could be insufficient. It suggests adding broader analysis and pre-set constraints, but the final screen remains the same three filters. The document gives no entry timing, exit rules, position sizing, transaction-cost assumptions, or evidence that the “control” measure reliably reflects tradable capital flows.

Key ideas

• The screen requires daily amplitude above 1, a control measure above 21, and prior-day trading value above 60 million.
• The post interprets the filters as measures of volatility, capital activity, and market participation.
• It includes formula and Python examples, but their field definitions and units need verification.
• The screen has no reported backtest and does not specify exits, sizing, or trading costs.
• The author notes that fundamental analysis and stronger risk controls are missing.

Tags

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