Screening Chinese Stocks by Amplitude, Control, Turnover, and Valuation

Summary

This article outlines a daily Chinese stock screen using amplitude above 1%, a controlling-shareholder measure above 21%, and turnover between 2% and 9%. Its proposed refinement adds positive price-to-earnings and price-to-book ratios, with upper bounds of 50 and 20, respectively. The article provides formula and Python-style examples and suggests ranking selected stocks by market capitalization.

The rationale is to combine price movement and trading activity with ownership and valuation checks. The author cautions that amplitude can be temporary, turnover may favor short-term trading, and the filters omit industry and broader fundamental context. Suggested improvements include adjusting thresholds as conditions change and adding further company information. The Python example differs in how it defines the controlling-shareholder condition, and its outputs are not reconciled with the prose. No backtest, benchmark, or evidence of profitability is provided, so the criteria are a screening proposal rather than a validated strategy.

Key ideas

• The screen combines amplitude, a controlling-shareholder measure, and a bounded turnover range.
• The proposed refinement adds positive valuation ratios with stated upper limits.
• The article notes that amplitude may be temporary and turnover can bias selection toward short-term trading.
• It recommends considering broader fundamentals and adjusting thresholds as market conditions change.
• The examples are not accompanied by backtests, and the code’s ownership condition differs from the prose.

Tags

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