Equity Screening by Price, Amplitude, and Turnover
Summary
This note proposes a simple Chinese equity screen using amplitude above 1, a closing price of 18.5 yuan, and a turnover rate between 2% and 9%. It presents amplitude as a measure of price movement and turnover as a measure of trading activity, then suggests sorting qualifying stocks by trading value. Formula and Python examples illustrate how the conditions could be applied to daily market data.
The document characterizes the screen as potentially suitable for medium-term investment, but provides no backtest, rationale for the exact thresholds, or evidence of returns. It cautions that a few price and activity indicators omit financial fundamentals and may still select risky stocks. Proposed improvements include adding valuation measures and assessing trend and volatility. The strategy description does not define entry or exit rules, portfolio construction, or risk limits, and its exact-price condition may sharply constrain the candidate set.
Key ideas
- The screen requires amplitude above 1, a closing price of 18.5 yuan, and turnover between 2% and 9%.\nIt proposes sorting eligible stocks by trading value.\nThe note treats turnover as a proxy for market activity, not as evidence of future performance.\nIt provides no backtest or support for its chosen thresholds.\nSuggested additions include financial measures and trend analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.