Chinese Stock Screening with Amplitude, Control, Returns, PE, and ROE

Summary

This Chinese-market stock screen combines price behavior and a control-related measure with valuation and profitability filters. Its initial criteria select stocks with amplitude above a threshold, today’s control measure above a threshold, and a positive but limited ten-day gain. The article then proposes refining the screen by ranking ten-day returns and adding price-to-earnings and return-on-equity requirements.

The post gives formula and Python examples, but these should be treated cautiously: the code’s ranking and return calculations do not consistently match the written screening rules. It reports no backtest or performance results. The author notes that short-horizon gains can be noisy and affected by broad market moves, and that a small set of indicators may omit relevant company and market information. Suggested additions include further financial and technical measures, tailored standards for different market conditions, and risk and capital management.

Key ideas

• The initial screen combines amplitude, a control-related measure, and a bounded ten-day gain.
• The proposed refinement adds a return ranking, a valuation filter, and a profitability filter.
• The post supplies formula and Python examples, though their calculations may not fully match the stated rules.
• Short-term returns can be noisy and influenced by broad market movements.
• The author recommends broader financial and technical analysis alongside risk management.

Tags

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