Screening Chinese Stocks by Volatility, Momentum, Size, and Profitability
Summary
The document describes a Chinese equity screen combining daily price range, recent returns, market capitalization, and profitability. It looks for stocks with a range above 1%, positive but below 35% returns over ten days, market value below 10 billion yuan, and no losses. The rationale is to target stocks with some recent movement while avoiding extreme gains and financially unprofitable firms. A reference formula also includes price above its ten-day average and excludes a market segment; the accompanying Python example adds a moving-average proximity check and removes special-treatment stocks.
The author warns that narrow criteria can miss opportunities and that smaller companies may have limited liquidity. It offers no performance results or empirical validation, and the example code and formula do not align fully with the stated market-cap threshold. Suggested extensions include other technical indicators and fundamental measures, so the screen is best read as a starting point rather than a tested strategy.
Key ideas
- The screen combines price range, ten-day momentum, market capitalization, and profitability filters.
- A ten-day gain below the stated upper bound aims to avoid stocks that have already risen excessively.
- Small-cap stocks can carry greater liquidity risk.
- The document provides example formulas and code but no backtest evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.