Screening Chinese Stocks by Amplitude, Region, Size, and Profitability

Summary

The document outlines a Chinese A-share stock screen that selects shares with daily amplitude above 1%, excludes Beijing-listed stocks, caps market value at 10 billion yuan, and requires positive return on equity across the past 60 periods. It illustrates these filters with formula and Python examples, then suggests extending the screen with price trends, fundamentals, industry conditions, growth, valuation, and more context-sensitive size limits.

The post offers no backtest, performance data, or evidence that the filters predict returns. Its risk discussion notes that the initial rules overlook broader fundamentals and sector trends, and that excluding a region may miss risks elsewhere. The example code is presented as a reference and would need adaptation to the data source and investment rules; the document also cautions readers to adjust the logic to their own strategy. The proposed enhancements are general suggestions rather than a tested replacement strategy.

Key ideas

• The screen combines an amplitude threshold with regional exclusion, a market value ceiling, and a profitability filter.
• It requires positive return on equity across a lookback period of 60 observations.
• The post suggests adding trend, industry, growth, and valuation considerations to broaden the assessment.
• The document provides no historical performance evidence for the screen or its proposed refinements.

Tags

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