Screening Chinese Stocks by Daily Range and Circulating Market Value

Summary

This note outlines a Chinese stock screen using daily price amplitude above 1%, the year 2021, and circulating market value between 5 billion and 10 billion yuan. It argues that larger daily moves may signal greater trading opportunity, while the market value band may select relatively established companies. It also flags the screen’s lack of fundamental analysis and the arbitrary nature of the chosen size range.

The article suggests adding valuation measures such as price to earnings or price to book, and tracking changes in circulating value rather than relying on a fixed band. It includes sample formula and Python references, but the examples appear inconsistent: the formula labels a valuation field as circulating market value, and the Python section mixes price movement, amplitude, shares outstanding, and value terminology. No backtest, performance evidence, or implementation validation is provided, so the screen is best understood as a rough selection rule rather than a tested strategy.

Key ideas

• The proposed screen selects stocks with daily amplitude above 1% during 2021.
• It restricts candidates to a circulating market value band of 5 billion to 10 billion yuan.
• The note associates higher amplitude with potentially larger price moves but provides no performance evidence.
• It warns that the screen omits company fundamentals and uses a potentially arbitrary market value range.
• The sample implementations contain mismatched field definitions that require verification.

Tags

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