Screening Chinese Stocks by Amplitude, Market Capitalization, and Volume Ratio

Summary

The post outlines a rules-based stock screen using three filters: price amplitude above 1, circulating market capitalization above 10 billion yuan, and a volume-ratio range above 1.5 but below 6. It presents the combination as a way to select stocks with meaningful price movement, a minimum size threshold, and elevated trading activity. A reference indicator expression uses prior-day price and volume measures, including moving averages of volume, to operationalize the filters.

The post flags several limitations: fixed thresholds may not adapt to changing market conditions, rigid screening can exclude worthwhile companies, and the rules do not fully account for market-wide or company-specific risk. It suggests adjusting thresholds and adding fundamental or text-based information, but supplies no backtest, performance statistics, or risk-adjusted results. Its sample Python sketch also describes data retrieval and filtering rather than demonstrating a complete, validated trading process, so the screen should be treated as a research starting point.

Key ideas

• The screen combines price amplitude, circulating market capitalization, and a bounded volume-ratio filter.
• The reference implementation uses previous-period price and volume measures to define its conditions.
• Fixed cutoffs may become less suitable as market activity and conditions change.
• The rules do not incorporate a complete assessment of company fundamentals or market risk.
• The post gives no backtest or evidence that the screening conditions generate excess returns.

Tags

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