Screening Chinese Stocks by Amplitude, Turnover, and Market Value

Summary

The document describes an equity screen requiring daily price amplitude above 1%, turnover above 2% and at most 9%, and company scale of at least 200 million yuan. It frames these filters as a way to select stocks with meaningful price movement and trading activity while excluding smaller companies. It also provides example formula and Python snippets, though the Python code includes additional filters and data choices that do not exactly match the stated screening rule.

The document cautions that company size alone does not measure business quality, and that amplitude and turnover cannot reliably predict future direction. It suggests adding financial measures such as profitability and revenue growth, technical measures, stop losses, and diversification. No backtest, selection results, or evidence of returns is provided, so the screen is a starting point for research rather than a validated strategy.

Key ideas

• The stated screen combines amplitude above 1%, turnover above 2% and no more than 9%, and scale of at least 200 million yuan.
• The proposed filters represent price movement, trading activity, and company size.
• Company scale does not establish a firm's intrinsic value or future prospects.
• Amplitude and turnover alone do not predict market direction.
• The document recommends adding financial analysis and managing risk through stops and diversification.

Tags

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