Screening Chinese Stocks by Amplitude, Float Market Value, and Return

Summary

The document describes a simple stock selection screen combining prior-session price movement with circulating market value. It selects shares whose amplitude exceeds 1, whose circulating market value exceeds 10 billion yuan, and whose return is positive. A referenced indicator formulation expresses the size filter alongside prior-day high-to-low and close-to-open comparisons. The stated rationale is to combine volatility, company scale, and positive recent price performance.

The article also identifies major limitations: the rules are basic, do not assess company fundamentals, and may respond too strongly to short-term market moves. It suggests adding valuation or earnings measures, technical indicators such as MACD or RSI, and market-flow or institutional trading data. No backtest results, benchmark, holding period, transaction costs, or risk-adjusted performance are provided. The accompanying Python example and indicator reference are implementation illustrations, but the document does not establish that their data handling fully matches the prose criteria. The screen should therefore be understood as a rough selection idea rather than a validated strategy.

Key ideas

• The screen combines prior-day amplitude, circulating market value, and positive return conditions.
• Its stated purpose is to favor larger companies with notable movement and recent gains.
• The author warns that the simple rules omit fundamental analysis and can be sensitive to short-term fluctuations.
• Suggested extensions include earnings and valuation measures, technical indicators, and trading-flow data.
• The document provides no backtest evidence or implementation validation.

Tags

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