Chinese Stock Screening with Amplitude, Control Activity, and Valuation Filters

Summary

This document describes a Chinese equity screen combining daily price amplitude, a measure of controlling shareholder activity, company listing age, and fundamental valuation filters. The final criteria require amplitude above 1, controlling activity above 21, more than five years since listing, price-to-earnings below 20, price-to-book below 3, and return on equity above 10%. It provides example implementations in a platform formula and Python, with the Python version ranking qualifying stocks by recent price change and returning up to five.

The author warns that relying only on capital activity and company age omits broader fundamental and technical information, can react slowly to market changes, and may be affected by noise. The suggested additions are valuation and profitability measures, broader data screening, and adjustment to the selection timing. The examples are references rather than validated evidence: no backtest results are presented, and the platform formula and Python implementation express the controlling-activity condition differently, so that criterion may need clarification before use.

Key ideas

• The screen combines amplitude and controlling-shareholder activity with listing age and fundamental valuation criteria.
• It requires more than five years since listing, price-to-earnings below 20, price-to-book below 3, and return on equity above 10%.
• The Python example ranks qualifying stocks by recent price change and returns up to five names.
• The document identifies omitted factors, market timing, and noise as risks, but provides no performance test.

Tags

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