Screening Chinese Stocks by Price Amplitude, Turnover, and Board

Summary

The document describes a stock screen that selects shares with price amplitude above a threshold, prior-day trading value above a threshold, and exclusion of the STAR Market. It frames amplitude and turnover as ways to identify active securities, while the market filter narrows the eligible universe. The examples refer to the Chinese equity market and provide a rough calculation of amplitude from daily high, low, and previous close prices.

The note warns that policy changes and weak financial results can undermine stocks selected by these rules, and that excluding the STAR Market can miss technology and innovation companies. It suggests adding industry classification and incorporating financial or attention data for a broader screen. No backtest, portfolio construction method, timing rule, or performance results are supplied, so the thresholds should be treated as screening choices rather than demonstrated predictors of future returns.

Key ideas

• The screen selects Chinese stocks using price amplitude and prior-day trading value thresholds.
• It excludes stocks listed on the STAR Market.
• The document identifies policy shifts and poor company results as risks to selected stocks.
• Adding industry and company data could make the selection process more detailed.
• The note provides no backtest or evidence that the screen predicts returns.

Tags

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