Screening Chinese Stocks by Volatility, Auction Activity, and Dividend Ratio
Summary
This Chinese equity screen selects stocks with amplitude above one, ranks them by the day’s auction amount, and keeps the top five when their 2019 dividend ratio exceeds twenty-five percent. The rationale is to combine price movement and early trading activity with a historical dividend measure, seeking liquid, active names with substantial distributions. The article includes formula and Python examples for expressing the filters, though some fields and functions depend on the platform and data source.
No backtest or return evidence is provided. The article warns that the screen may miss long-term business prospects and other fundamentals, and that a stated dividend ratio does not guarantee future distributions. It recommends examining earnings, revenue changes, and profit growth as additional criteria. The rule is a dated screening example, not evidence of future income or investment quality; its 2019 dividend field and auction ranking require suitable historical or current data definitions.
Key ideas
- The screen requires amplitude above one and ranks stocks by auction amount.
- It selects the five highest-ranked stocks that pass the auction filter.
- The dividend condition uses a 2019 ratio above twenty-five percent.
- The document supplies example formulas but reports no backtest results.
- It cautions that dividends may not recur and that broader fundamentals matter.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.