Screening Chinese Stocks by Daily Decline, Amplitude, Size, and Profitability

Summary

This proposed Chinese equity screen combines a daily price move with company size and profitability. It selects stocks with amplitude above 1, a daily decline between 4% and 5%, market capitalization at or below 10 billion yuan, and no losses. The document gives example indicator logic and a Python-style implementation, but it does not report a backtest or realized performance.

The rationale is to find smaller profitable companies after a sharp down day, while using profitability and size as basic filters. The author warns that these constraints can exclude opportunities and overlook market position or industry outlook. Suggested refinements include adding leverage, liquidity, growth, and governance measures, as well as diversification and periodic rebalancing. The screen is a selection rule rather than a complete trading plan: it does not specify entry timing, exits, position sizing, or evidence that the chosen thresholds improve returns. The sample formulas also rely on platform-specific fields whose definitions may require verification.

Key ideas

• The screen requires daily amplitude above 1 and a daily decline between 4% and 5%.\nIt limits candidates to companies valued at no more than 10 billion yuan that are profitable.\nThe document offers example formula and code approaches but no performance results.\nIt recommends adding business and risk factors, diversification, and periodic rebalancing.

Tags

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