Filtering Chinese Equities by Price Reversal, Amplitude, and Float Size

Summary

This Chinese stock-selection note combines a daily price-amplitude condition, a reversal-style candle pattern, and a limit on circulating shares. Its proposed refinement also requires a positive current return and suggests reviewing valuation measures such as price-to-earnings and price-to-book ratios. The document includes example indicator and Python logic intended to operationalize the screen, though the descriptions and code do not define every condition consistently: the reversal pattern is described in different ways, and the code references additional pattern and market-value fields.

The note warns that a small float does not establish that a company is undervalued or high quality, and that such a restriction may concentrate selections. It also recognizes that pattern identification can be subjective and that valuation and other factors may be needed. No historical test, portfolio results, transaction costs, or comparison with a benchmark are reported. The stated thresholds are screening choices rather than evidence of an edge, and users would need to verify data definitions, signal timing, and implementation before evaluating the screen.

Key ideas

• The screen combines price amplitude, a reversal pattern, and a maximum circulating-share count.
• The suggested refinement adds positive recent price performance and fundamental valuation checks.
• The note acknowledges that a smaller float does not guarantee attractive valuation or company quality.
• Pattern recognition may be subjective, and the stated conditions are not fully consistent with the example code.
• 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.