Screening Chinese Stocks by Volatility, Dividends, and Auction Value

Summary

This stock screen combines three filters: daily price amplitude above the stated threshold, a 2019 dividend ratio above 25%, and a top-five ranking by today’s opening-auction amount. The document describes the combination as a way to select stocks with both a price-movement condition and a dividend criterion, while using auction value to reflect current trading activity. It includes illustrative indicator and Python examples for applying the filters, but reports no backtest or performance evidence.

The author flags possible high entry costs if auction-value leaders have already risen sharply, as well as overtrading and losses if trading frequency is not controlled. Suggested improvements include refining the conditions and trading frequency, managing risk and long-term allocation, and combining technical and fundamental analysis. The examples and rationale are brief; the document does not specify a tested holding period, exit rules, or evidence that the screen improves returns.

Key ideas

• The screen requires price amplitude above its threshold and a 2019 dividend ratio above 25%.
• It ranks eligible stocks by opening-auction amount and selects the top five.
• The document provides example implementations but no reported backtest results.
• High auction activity may coincide with elevated entry prices, and frequent trading may increase costs and losses.

Tags

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