Screening Chinese Stocks by Amplitude, Turnover, and Region

Summary

This Chinese equity screen selects stocks with amplitude above 1 and previous-day turnover above 8%, while excluding Beijing-listed shares. The article presents amplitude as a way to locate more volatile stocks and turnover as a sign of recent trading activity. Its suggested refinement adds other measures, such as relative strength and market value, alongside the existing filters. Example indicator logic and Python-like selection steps are included, with a proposed ranking by market capitalization.

The author cautions that active stocks can encourage excessive buying or selling, that amplitude alone omits other relevant information, and that excluding one region does not address risks elsewhere. The supplied text offers no backtest, performance statistics, or rationale demonstrating a distinct regional risk. Its suggested additions are broad ideas rather than tested improvements, so the screen should be treated as a basic filter rather than evidence of an effective trading strategy.

Key ideas

• The screen requires amplitude above 1, excludes Beijing shares, and requires previous-day turnover above 8%.
• The article treats amplitude as a volatility filter and turnover as a measure of recent activity.
• It suggests adding relative strength and market value to broaden the selection criteria.
• The text warns that high activity may promote overtrading and that regional exclusion leaves other risks unaddressed.
• No performance test is provided to establish whether these filters improve returns.

Tags

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