Dividend and Auction-Activity Filters for A-Share Stock Selection

Summary

This proposed A-share screen combines capital-strength ranking, the five stocks with the highest auction amount for the day, and a dividend ratio above 25% in 2019. Its expanded final logic adds price-to-earnings below 30, price-to-book above 1, a bullish moving-average arrangement, and a MACD bullish crossover. The stated rationale is to pair market attention and early-session trading activity with dividend history, then add valuation and trend filters.

The note offers no backtest results or evidence that these conditions improve returns. It acknowledges that the approach omits broader financial and industry factors and suggests adding measures such as valuation and technical signals. The short code fragment is incomplete and does not implement the full stated screen, so the method remains a list of proposed filters rather than a demonstrated strategy. The use of a fixed past-year dividend measure also does not, by itself, establish future dividend quality.

Key ideas

• The initial screen ranks by capital strength and daily auction amount, and requires a 2019 dividend ratio above 25%.
• The expanded version adds valuation limits, a bullish moving-average arrangement, and a MACD crossover.
• The rationale combines dividend history with trading activity and price-trend filters.
• The document gives no backtest evidence, and its code fragment does not implement the complete screen.
• A historical dividend ratio alone does not establish the quality or persistence of future payouts.

Tags

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