Chinese Stock Screening by Amplitude, Turnover, and Listing History
Summary
This Chinese equity screen selects stocks with price amplitude of at least 1%, turnover above 2% and below 9%, and more than a year since listing. The proposed rationale is that amplitude and turnover reflect trading activity and volatility, while a longer listing history offers more market and company history. The document also provides indicator formulas and a Python example, though the code's weekly volume and share-count calculation is not an exact implementation of the stated turnover condition.
No backtest, return statistics, or comparative evidence is presented, so the screen's effectiveness remains untested in the document. Its own risk discussion notes that price and trading measures leave out fundamentals, industry context, broader market conditions, and unexpected events. It suggests adding those dimensions and establishing risk controls before using the screen to guide decisions.
Key ideas
- The screen combines amplitude of at least 1%, turnover between 2% and 9%, and listing age over one year.
- Amplitude and turnover are used as proxies for trading activity and volatility.
- The document gives no performance evidence for the proposed screen.
- Fundamentals, industry context, market conditions, and risk controls are identified as missing considerations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.