Screening Chinese Stocks by Price Range, Prior Limit Status, and Dividends

Summary

This stock-selection approach combines three filters: daily price amplitude above 1, exclusion of stocks that closed at the upper price limit on the previous day, and a 2019 dividend ratio above 25%. The accompanying explanation treats amplitude as a measure of short-term movement, the limit-up exclusion as a way to avoid highly crowded names, and the dividend condition as a possible signal of earnings strength or stability. It also suggests adding valuation measures such as price-to-earnings and price-to-book ratios, plus debt and revenue data, and checking whether dividend policy is sustainable.

The document offers a Python example using Tushare data, but its implementation does not clearly match the stated screen: the dividend field is not explicitly tied to 2019, the daily price comparisons are used in place of a direct amplitude and limit-up test, and the code’s comparisons are more restrictive than the prose description. No backtest, returns, or risk-adjusted results are reported. The author cautions that the screen omits company fundamentals and that dividends can change with policy and market conditions, so its picks may not have lasting investment value.

Key ideas

• The proposed screen selects stocks using price amplitude, previous-day limit status, and a stated 2019 dividend-ratio threshold.
• The explanation treats amplitude as a short-term movement filter and the prior-day exclusion as a way to avoid obvious market hot spots.
• The author suggests combining the screen with valuation, debt, revenue, and dividend-policy analysis.
• The sample code does not clearly implement all the stated conditions, including the year-specific dividend filter and direct amplitude test.
• No performance evidence is given, and the document warns that the screen omits important fundamental and external factors.

Tags

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