Equity Screening by Volatility, Ten-Day Return, and Listing Age

Summary

This note describes a Chinese equity screen using three filters: price amplitude above 1, a positive ten-day return below 35, and a listing age above a chosen threshold. The rationale is to find stocks with some recent movement and gains while excluding very new listings. It also suggests refining the screen with company fundamentals, technical indicators, market conditions, sentiment, and capital flows.

The document provides a brief Python example that filters amplitude and listing age, but it calculates the ten-day return without applying the stated return bounds. It gives no backtest, performance figures, or evidence that the filters predict future returns. The listing-age threshold is left unspecified, and the amplitude calculation and return conditions would need careful definition before implementation. The author notes that historical price behavior may not persist and that listing age alone does not capture a company’s financial risks.

Key ideas

• The proposed screen combines amplitude above 1, a ten-day gain between 0 and 35, and a minimum listing age.
• The stated rationale is to seek stocks with recent price movement while excluding excessive short-term gains and very new listings.
• The Python example does not implement the stated ten-day return bounds.
• The note recommends adding fundamental, technical, market, and sentiment information.
• No backtest or performance evidence is provided.

Tags

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