Chinese Stock Screening with Volatility, Float Size, and Daily Gains

Summary

This note describes a screen for main-board Chinese stocks whose price amplitude exceeds 1%, tradable share float is at most 5.5 billion shares, and daily gain exceeds 1%. The stated rationale is to find actively moving stocks with a smaller float and positive short-term price momentum. It recommends adding fundamental measures such as valuation ratios and considering a longer observation period to reduce dependence on a single day’s market conditions.

Formula and Python examples show how to calculate amplitude, filter by float size and daily percentage change, and take the intersection of the conditions. The article cautions that the screen is sensitive to market themes and price moves, and that it omits company fundamentals, which can leave valuation or business-quality risks unexamined. It reports no backtest results or evidence that the screen predicts returns. The method is therefore a candidate selection rule that needs further definition, testing, and risk controls before use.

Key ideas

• The screen requires amplitude above 1%, float size no greater than 5.5 billion shares, and a daily gain above 1%.
• The author frames the float filter as a way to focus on smaller companies with potentially higher risk and return.
• Fundamental measures and a longer evaluation horizon are suggested as possible improvements.
• The article warns that the approach depends on market conditions and excludes company fundamentals.
• No backtest or return evidence is supplied.

Tags

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