Screening Chinese Stocks by Amplitude, Recent Highs, and Profitability

Summary

The document describes a Chinese stock screen combining daily price movement, a recent two-day high, a market-cap ceiling, and positive net profit. It presents amplitude above one as a volatility filter and a fresh high as a sign of near-term strength, while profitability and size are intended to constrain the candidate list. It also gives example indicator conditions and sketch code, but the examples are not a validated implementation of the full written rule.

The authors note that the screen may omit attractive stocks, excludes companies above its size limit, and needs broader technical and fundamental inputs. They suggest adding persistence requirements and adjusting the market-cap constraint. No backtest results or evidence of predictive performance are supplied, so the rationale remains qualitative. The document is best read as an illustrative screening idea; its signal definitions, data conventions, and practical trading rules would need checking before use.

Key ideas

• The screen combines high amplitude, a recent two-day high, limited market capitalization, and positive earnings.
• The text presents volatility and recent price strength as reasons to include stocks.
• Its sample formulas and code are illustrative and do not establish a tested implementation.
• The document recommends adding persistence checks and broader technical or fundamental measures.
• No backtest or evidence of future returns is reported.

Tags

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