Screening Chinese Stocks by Amplitude, Control Activity, and Market Heat

Summary

This document proposes a Chinese equity selection rule that filters for daily amplitude above 1 and a control-activity measure above 21, then ranks qualifying stocks by market heat. Its examples refer to a heat index and controlling-shareholder activity data, with sample logic that selects a subset of the ranked names. The stated rationale is to focus on stocks drawing market attention, particularly smaller-cap names.

The document warns that heat measures based on search and related data may be delayed or inaccurate, and that selections among less liquid stocks can change quickly. It recommends using more reliable heat data, combining the measure with other factors such as moving averages or capital flows, and limiting volatility. However, it gives no backtest, return evidence, definitions for the activity or heat measures, or detailed rules for portfolio construction. The proposed screen should therefore be treated as an idea rather than a validated strategy.

Key ideas

• The screen combines daily amplitude and a controlling-activity threshold, then ranks names by market heat.
• The examples use heat data as a proxy for investor attention.
• The document flags possible data delays and unstable selections in less liquid stocks.
• It suggests combining heat with other signals and constraining volatility, but provides no performance validation.

Tags

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