Combining Stock Volatility, Company Quality, and Historical Performance Filters

Summary

The article proposes screening Chinese stocks using price amplitude, company quality, and performance tied to 2021. Its expanded version adds valuation and fundamental comparisons, allows technical indicators such as KDJ, RSI, or MACD, and suggests considering liquidity, market conditions, and investor risk preferences. The formula section describes an amplitude threshold, fundamental ranking conditions, and a ranking range; the accompanying explanation also discusses selecting companies with favorable business characteristics.

The document provides no backtest or evidence that the filters generate returns. It explicitly notes that a past year's performance may not persist, that large price swings do not establish underlying value, and that the screen may overlook durable earnings and other fundamentals. The examples are also inconsistent: the narrative refers to 2021 performance, while parts of the formula and Python example refer to current-year performance or use conflicting conditions. The screen is best read as a loose set of selection ideas, not a fully specified or validated strategy.

Key ideas

• The proposed screen combines price amplitude with company quality and historical performance.
• The expanded criteria include valuation, technical indicators, liquidity, and broader market conditions.
• The article warns that high amplitude can reflect short-term volatility without indicating intrinsic value.
• Past performance from 2021 may not predict later results.
• The formula and Python example do not consistently implement the stated historical-performance condition.

Tags

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