Chinese Stock Screening by Amplitude, Float Value, and Company Scale
Summary
This Chinese A-share screening proposal combines a volatility condition with two size filters: amplitude above 1, circulating market capitalization above 10 billion yuan, and enterprise scale above 200 million yuan. The accompanying indicator reference expresses the market-value and asset thresholds and limits the universe to Shanghai and Shenzhen listings. The article presents these criteria as a way to identify sizable companies with active price movement, but it supplies no performance data or backtest results.
The author cautions that emphasizing company size can screen out firms with other attractive characteristics, such as earnings growth, and that size alone does not predict stock performance. Suggested refinements include adding financial and technical measures and making the scale bands more precise. The Python example also attempts an amplitude calculation from daily highs and lows, though its data fields and calculation window do not clearly match the stated screening rule. Treat this as a rough screen requiring validation and precise definitions before use.
Key ideas
- The screen combines a price-amplitude threshold with minimum circulating market value and total assets.
- It limits eligible securities to Shanghai and Shenzhen stocks.
- Company size does not guarantee stronger performance and may hide other relevant company traits.
- The article offers no empirical performance evidence, and its code needs careful field and threshold validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.