Dividend Yield, Moving Average, and Amplitude Stock Screen
Summary
The document describes a stock screen combining three conditions: a dividend ratio above 25% for 2019, a 20-day moving average above the 120-day moving average, and daily amplitude above 1%. It interprets the moving-average relationship as an uptrend filter, amplitude as a volatility or trading-opportunity filter, and the dividend condition as a high-payout filter. It also gives example screening logic and sample code using Chinese-market data tools, but provides no backtest results or evidence that the filters improve returns.
The accompanying discussion flags important limitations: the screen omits growth, valuation, broader fundamentals, and industry or market context, and may stop working as conditions change. It recommends combining additional indicators with fundamental analysis and applying position and risk controls. The implementation details should be treated cautiously: the examples use historical dividend data alongside a range of prices, and the text does not establish a precise rebalance schedule, portfolio construction method, transaction-cost assumptions, or out-of-sample validation.
Key ideas
- The screen requires a 2019 dividend ratio above 25%, a 20-day average above a 120-day average, and amplitude above 1%.
- The moving-average condition acts as a trend filter, while amplitude is used as a volatility screen.
- The document provides example screening logic but reports no performance results or validation.
- It identifies missing valuation, growth, fundamental, market, and industry analysis as limitations.
- Position controls and broader analysis are suggested, but a complete portfolio method is not specified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.