Screen Robot-Themed Chinese Stocks by Momentum, Amplitude, and Size

Summary

This post proposes screening Chinese stocks associated with the robotics theme using price amplitude, recent performance, and a ceiling on free-float market value. Its written criteria require amplitude above a threshold and a positive but bounded return over ten days, alongside the theme and size filters. The example indicator formula instead approximates recent strength with the close relative to a ten-day moving average, and the Python example retrieves theme constituents and daily prices before applying price and capitalization checks.

The author warns that theme-driven selection can become indiscriminate, smaller firms carry greater risk, and relying on a narrow set of factors may miss relevant information. Suggested refinements include other technical indicators, company financial condition, management background, and historical risk and return. No performance results or out-of-sample evidence are reported. The prose, formula, and data code do not fully align, so exact definitions and data sources need verification before research use.

Key ideas

• The proposed screen combines a robotics theme, price movement filters, and a free-float size ceiling.
• The sample formula uses a moving-average band as a proxy for recent price strength.
• The post flags theme concentration, small-company risk, and dependence on few signals.
• No backtest is reported, and the prose criteria differ from parts of the example code.

Tags

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