Combining Revenue Growth, Trading Activity, and Quality Filters

Summary

The document outlines a Chinese stock screen combining daily price range and turnover with a multi-year revenue comparison. Its initial conditions require an amplitude above 1%, turnover between 2% and 9%, and revenue in 2021 exceeding 2018 revenue by a stated ratio greater than 1.1. A later version adds valuation, profitability, and dividend filters: price-to-earnings below 50, price-to-book below 10, return on equity above 15%, and dividend yield above 2%. Example formulas and Python-like steps show how the author intends to combine market and financial data.

The stated rationale is to pair trading activity and volatility with a basic measure of business growth, then screen for valuation and shareholder-return characteristics. The article cautions that this approach can overlook governance, industry competition, long-term value, and broader financial conditions, and recommends risk controls and position management. It reports no backtest or realized performance. Some code calculations do not clearly match the prose definitions, so the implementation would need careful validation before use.

Key ideas

• The initial screen combines price amplitude, turnover, and a 2021-to-2018 revenue ratio above 1.1.
• The expanded screen adds valuation ceilings, a return-on-equity threshold, and a dividend-yield threshold.
• The rationale is to combine market activity with growth and selected quality measures.
• The article warns that governance, industry competition, diversification, and financial risk need further review.
• No backtest evidence is provided, and parts of the example implementation may not match the stated conditions.

Tags

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