Screening Chinese Stocks by Amplitude, Profitability, Size, and Relative Volume

Summary

The document outlines an A-share screening rule combining daily price amplitude, market capitalization, recent profitability, and relative trading volume. Its refined criteria call for amplitude above 1%, capitalization below 10 billion yuan, positive net profit in each of the latest four quarters, and a volume ratio between 1.5 and 6. It also suggests adding technical measures, sector analysis, and market-theme information, then controlling individual positions and using stop losses.

The rationale is to combine price activity and liquidity with basic financial health, while excluding some low-volume stocks. The document identifies possible opportunity costs: the volume band may omit attractive stocks, and the size and amplitude thresholds may exclude other candidates. It offers formula and Python examples, but no backtest, defined benchmark, or evidence that the filters improve returns. Its sample code and formula should be checked for consistency with the intended definitions and the data provider before use.

Key ideas

• The screen combines price amplitude, company size, profitability, and relative volume.
• The refined rule uses a capitalization ceiling of 10 billion yuan and requires positive profits for four quarters.
• The proposed relative-volume range is greater than 1.5 and less than 6.
• The document suggests adding technical, industry, and market-theme analysis.
• It recommends managing single-stock exposure and using stop losses, 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.