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

Summary

This Chinese stock-selection article starts with a screen for stocks whose amplitude exceeds 1, whose reported daily control measure exceeds 21, and whose market value is below 10 billion yuan. It then presents a stricter version: positive net profit in each of the past five years, recent quarterly profit growth above 30%, and a price-to-earnings ratio below 30. The article provides example formulas for implementing the conditions, alongside discussion of the screening rationale.

The author argues that combining price behavior and control measures with size and profitability filters may help identify candidates while limiting exposure to unprofitable firms. The article gives no backtest, performance statistics, or evidence that the filters improve returns. It flags small-cap liquidity, omitted market and policy conditions, and excessive emphasis on short-term earnings. The examples also contain implementation ambiguities: the initial screen and final rules differ, and the code uses varying profit-growth periods and amplitude expressions. Treat the rules as an illustrative screen requiring validation, rather than a tested strategy.

Key ideas

• The initial screen combines an amplitude threshold, a daily control measure, and a market-value ceiling.
• The proposed refined screen adds a five-year positive-profit record, recent profit growth, and a valuation limit.
• The article recommends incorporating broader fundamental data and adapting criteria to market conditions.
• Small-cap liquidity and reliance on short-term profitability are identified as risks.
• No performance evidence is supplied, and the example formulas do not consistently match the stated rules.

Tags

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