Screening Chinese Stocks by Daily Range, Listing Age, and Board

Summary

The document describes a stock screen that selects shares with daily amplitude above a threshold, at least three years since listing, and exclusion from China’s STAR Market. It presents amplitude as a proxy for trading attention and the listing-age filter as a way to avoid the instability associated with newer stocks. The accompanying sample logic also checks market capitalization and circulation value, so the implemented example is more restrictive than the headline criteria alone.

The author acknowledges that the screen omits company fundamentals, that short-term activity does not establish long-term growth potential, and that excluding a market segment may remove promising stocks. Suggested improvements include incorporating fundamental measures and weighting the criteria. No backtest results or evidence of profitability are supplied, and the stated rationale for high amplitude is not tested. The idea is best understood as a preliminary universe filter whose thresholds, data handling, and added conditions would need validation before use.

Key ideas

• The proposed screen requires daily amplitude above a threshold and a listing history longer than three years.
• It excludes STAR Market stocks and the sample logic adds market-value checks.
• The document treats amplitude as a possible indicator of investor attention, without providing evidence for that link.
• The author notes the screen omits fundamentals and could miss stocks excluded by its market filter.
• No backtest or profitability results are provided.

Tags

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