Chinese Stock Screening by Amplitude, Turnover, and Float Market Cap

Summary

The document describes a Chinese stock screen that selects shares with daily amplitude above 1, turnover between 2% and 9%, and floating market capitalization between 5 and 10 billion yuan. It presents these filters as a way to focus on stocks with notable price movement and trading activity while limiting the eligible company size. Indicator formulas and a Python example are included as implementation references, but the example’s calculations do not consistently match the stated screening conditions.

The author cautions that technical filters can miss fundamental information and that screening rules may need to differ across industries. Suggested additions include moving averages, MACD, and return on equity, alongside industry-specific criteria. The document provides no backtest results or evidence of investment performance, so it does not establish that the screen predicts returns. Any use would require checking data definitions, correcting implementation discrepancies, and independently evaluating the rules.

Key ideas

• The screen combines daily amplitude, turnover, and floating market capitalization filters for Chinese equities.
• Turnover must be above 2% and below 9%, while the stated size band is 5 to 10 billion yuan.
• The document suggests combining technical filters with fundamental measures and industry-specific criteria.
• It provides no performance evidence, and its code example may not implement the stated conditions consistently.

Tags

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