Screening A-Shares by Daily Amplitude, Shareholder Control, and Dividends

Summary

This A-share screen selects stocks whose daily amplitude exceeds 1, whose daily change in controlling-shareholder holdings has an absolute value above 21, and whose 2019 dividend ratio exceeds 25%. The article describes these inputs as proxies for price volatility, changes in concentrated ownership, and dividend distribution. It provides both formula-style conditions and a Python outline that checks each condition, then ranks qualifying stocks by recent price change and returns up to five.

The screen is presented as a set of selection rules, not as a tested strategy. The article warns that historical data may not reflect current conditions, that the fundamental criteria and risk controls may be incomplete, and that simple filters can produce overlapping stock picks. It recommends considering additional factors or weighted methods, including machine learning, but supplies no evidence that these changes improve performance. It also does not specify portfolio sizing, rebalancing, or transaction costs.

Key ideas

• The screen combines a daily amplitude threshold with an absolute threshold for controlling-shareholder holding changes.
• It also requires a 2019 dividend ratio above the stated cutoff.
• The example ranks qualifying stocks by recent price change and returns at most five.
• The article gives no backtest results or complete portfolio and risk-management rules.

Tags

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