Screening Chinese Stocks by Daily Amplitude, Listing Age, and Exchange Board

Summary

This note outlines a Chinese equity screen that excludes Beijing-listed A-shares, selects stocks with daily amplitude above 1%, and requires more than one year since listing. It argues that the listing-age filter can reduce exposure to newly listed companies with limited financial history, while the amplitude condition targets stocks with larger daily price ranges. A suggested expansion adds a market-capitalization band and fundamental analysis.

The article includes formula and Python-style examples, but offers no backtest or performance evidence. Its proposed market-capitalization range differs between the prose and code, and the code’s board exclusion appears to use a label that may not correspond to the stated Beijing-market filter. The note also acknowledges that the basic screen omits long-term company value and detailed financial or technical analysis. It suggests combining price, size, industry, and financial measures, though it does not define a complete scoring method or specify how to assess investment value.

Key ideas

• The core filter excludes Beijing-listed A-shares and requires amplitude above 1% and more than one year of listing history.
• The article proposes adding market capitalization and fundamental analysis to the initial screen.
• The suggested market-capitalization ranges differ between the prose and example code.
• No backtest is supplied, and the article notes that the basic rules omit longer-term company analysis.

Tags

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