Screening Chinese Stocks by Amplitude, Turnover, and Float Size

Summary

The proposed Chinese equity screen selects stocks with daily amplitude above 1, turnover between 2% and 9%, and a stated share-float ceiling of 5.5 billion shares. The intended rationale is to find stocks with notable price movement and trading activity while limiting the size of the tradable share base. The article also includes an indicator formula and sample Python, though the code does not consistently implement the stated conditions: its float-value comparison is reversed, and its amplitude condition is not shown in the Python selection logic.

The author cautions that the screen omits fundamental information and other potentially important indicators, and that results depend on the selection date. Suggested additions include technical and financial measures. No historical performance, risk statistics, or evidence that the criteria predict returns is provided, so the screen should be treated as a basic filter rather than a validated strategy.

Key ideas

• The screen combines daily amplitude, turnover, and share-float limits.
• Its stated turnover range is above 2% and at most 9%.
• The article’s sample Python does not faithfully implement all stated criteria.
• The screen omits fundamental analysis and reports no performance testing.

Tags

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