Screening Chinese Stocks by Volatility, Listing Age, and Profit Growth

Summary

This post describes a Chinese equity screening rule combining price movement, company age, and earnings growth. It selects stocks with daily amplitude above 1%, at least three years since listing, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. The rationale is to seek actively traded stocks while excluding newer listings and focusing on companies with growing profits. The post also includes a Python example that adds further price-trend conditions, so its implementation is not an exact match for the stated screening rule.

The author notes that the screen omits macroeconomic and policy conditions, does not assess broader company quality, and may return too few candidates because it uses a narrow set of filters. The suggested improvement is to incorporate additional indicators, including measures of market attention and fundamentals. No backtest results or evidence of predictive performance are provided, and the screen should be treated as a candidate-generation method rather than a demonstrated investment strategy.

Key ideas

• The screen combines amplitude above 1% with at least three years of listing history and bounded year-over-year profit growth.
• The post motivates the amplitude filter as a way to find stocks with more active price movement.
• The Python example adds price-trend conditions beyond the stated selection logic.
• The author cautions that narrow filters omit macroeconomic conditions and broader measures of company quality.
• No performance test is reported, and the strategy may produce too few stocks.

Tags

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