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

Summary

This document describes a Chinese equity screen using three conditions: daily price amplitude above 1%, prior-day trading value above 60 million, and circulating market capitalization above 10 billion yuan. It presents the screen as a way to find actively traded, larger companies and gives example implementations for two platforms. The accompanying explanation says the size and liquidity filters may favor established firms and reduce exposure to thinly traded stocks.

The document offers no backtest, performance figures, or evidence that the thresholds predict returns. It warns that the screen may exclude smaller or emerging companies, and suggests adding valuation measures such as price-to-book or price-to-earnings ratios and accounting for industry differences. The listed conditions define a stock selection filter, not a complete trading strategy: there are no entry or exit rules, portfolio construction details, or risk controls. The examples also describe the turnover-value condition in terms of volume, so the precise data field and units should be checked before implementation.

Key ideas

• The screen requires amplitude above 1%, prior-day trading value above 60 million, and circulating market capitalization above 10 billion yuan.
• The filters aim to select active, relatively large Chinese stocks.
• The document warns that this approach may leave out smaller firms with growth potential.
• It suggests adding valuation measures and industry-specific considerations.
• No performance test or complete trading plan is provided.

Tags

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