Large-Cap Stock Screening by Price Range and Listing Age

Summary

The document describes a Chinese equity screening rule that selects stocks with daily price amplitude above 1%, circulating market capitalization above 10 billion yuan, and a listing date earlier than a chosen cutoff. It presents these filters as proxies for trading activity, company scale, and maturity, and suggests adding fundamental measures such as return on equity, leverage, and valuation ratios. It also proposes splitting longer selection periods into shorter stages to respond to changing markets.

The document gives indicator-formula and Python examples, but they do not cleanly implement the stated rule: the Python snippet uses turnover and volume-based checks as substitutes for amplitude and market capitalization, and its listing-date logic may not match the stated cutoff. No performance evidence is supplied. The proposed filters therefore describe a screening concept rather than a validated strategy; the text also warns that market stress or weak industries may concentrate capital in selected holdings and raise portfolio risk.

Key ideas

• The screen combines price amplitude, circulating market capitalization, and listing age.
• The stated thresholds are an amplitude above 1% and circulating capitalization above 10 billion yuan.
• The author suggests adding profitability, leverage, and valuation measures to refine the selection.
• The examples contain implementation mismatches, and the document provides no backtest evidence.

Tags

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