Screening Chinese Stocks by Amplitude, Size, and Historical Dividends
Summary
This post outlines a Chinese equity screen requiring daily price amplitude above a threshold, circulating market capitalization above a stated floor, and a 2019 dividend ratio above a specified level. It frames the filters as a way to combine trading activity, company size, and historical distributions. The article also provides indicator-formula and Python examples, although the Python sample additionally ranks stocks by market capitalization, restricts the exchange, and randomly samples the final list, so it does not implement only the stated screen.
No backtest, returns, or comparative evidence is reported. The author cautions that the method leaves out other valuation and business-quality measures and may overemphasize a single year’s dividends, overlooking growth prospects and broader profitability. Suggested refinements include comparing dividend ratios within industries and considering other financial metrics. The historical dividend condition also means the screen’s stated inputs may not represent current fundamentals.
Key ideas
- The proposed screen combines amplitude, circulating market capitalization, and a 2019 dividend ratio.
- The article treats market size as a scale measure and the dividend condition as an indicator of distributions.
- The Python example adds exchange restrictions, market-cap ranking, and random sampling beyond the stated conditions.
- The post gives no backtest or performance results and warns that dividend history alone may miss growth and business quality.
- It suggests adding valuation and profitability measures and comparing dividends with industry peers.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.