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

Summary

This stock-screening proposal selects shares with daily amplitude above 1, circulating market value above 10 billion yuan, and previous-day actual turnover between 3% and 28%. The rationale is to focus on larger companies with active but not extremely high trading activity. The post suggests adding market sentiment and fund-flow measures to broaden the assessment, and notes that the screen may miss stocks affected by changing market styles or quieter market conditions.

The document includes sample indicator conditions and Python-style selection logic, but these do not fully implement the stated screen: the sample code checks market and turnover conditions and a price comparison, without applying the amplitude or circulating-value thresholds. It also proposes random selection from qualifying names and gives no backtest results, portfolio rules, transaction-cost assumptions, or evidence that the thresholds predict returns. Treat the criteria as a screening hypothesis, not a validated strategy.

Key ideas

• The proposed screen requires amplitude above 1, circulating market value above 10 billion yuan, and previous-day turnover from 3% to 28%.
• The rationale is to find relatively large companies with active but not extreme trading.
• The post identifies changing market styles and quieter trading as possible sources of omissions.
• It suggests considering sentiment and fund flows alongside activity measures.
• The included sample code omits some stated screen conditions, and no return validation is provided.

Tags

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