Chinese Stock Screening with Amplitude, Dividend Yield, and Turnover

Summary

This document describes a Chinese equity screen combining three filters: price amplitude above 1, a 2019 dividend ratio above 25%, and prior-day turnover above 8%. It presents the combination as a way to find stocks with strong recent activity and potentially concentrated market interest, and provides example formulas and Python code for applying the conditions.

The article cautions that yesterday’s turnover may not reliably signal current market themes or direction, while amplitude and dividend yield alone can miss short-term price behavior. It suggests adding sector performance, price-volume relationships, and other technical measures, and considering sector rotation when interpreting fundamental filters. No backtest, performance data, or evidence that the screen predicts returns is supplied; the examples also require adaptation to the data source and timeframe.

Key ideas

• The screen combines price amplitude, a historical dividend ratio, and prior-day turnover.
• The article frames high turnover as a possible indicator of activity and liquidity, but notes that it can be a noisy signal.
• It recommends combining fundamental filters with sector trends and price-volume indicators.
• The document provides implementation examples but no performance evaluation or return evidence.

Tags

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