Filtering Chinese Stocks by Range, Float, and Market Capitalization

Summary

This proposed Chinese stock screen combines three filters: price amplitude above 1%, circulating shares at or below 5.5 billion, and circulating market capitalization between 5 billion and 10 billion yuan. The post describes the amplitude filter as a way to find more active stocks, and the size filters as a way to focus on smaller companies with mid-range market values. Its code examples show how to calculate the filters and intersect the qualifying lists; the Python example then ranks candidates by volume ratio and selects a fraction of the universe.

The post provides no backtest results, benchmark, holding period, or evidence that the screen predicts returns. It notes that the rules omit company fundamentals and can select volatile or sentiment-driven stocks, and suggests adding fundamentals, sector context, capital flows, and investor attention. The stated thresholds and code are a screening proposal, not a validated strategy; implementation details such as data timing and the ranking step would need independent review.

Key ideas

• The screen requires amplitude above 1%, circulating shares no greater than 5.5 billion, and circulating capitalization from 5 billion to 10 billion yuan.
• The example implementation combines qualifying stocks and ranks them by volume ratio.
• The post warns that the filters omit fundamentals and may select stocks affected by speculation or sentiment.
• It suggests adding fundamental measures, sector and flow analysis, and investor positioning for further evaluation.
• 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.