Screening Chinese Stocks by Volatility, Profitability, Size, and Large-Order Flows
Summary
The document presents an equity screening approach combining daily price range, company size, profitability, and a large-order net-volume ranking. Its refined criteria select stocks with daily amplitude above 1%, market capitalization below 10 billion yuan, positive net profit in each of the latest four quarters, and a large-order net-volume rank within the top 20. The intended mix is technical, fundamental, and flow-based screening. Example formula and Python snippets illustrate how the filters might be assembled, though the implementation references platform-specific fields and APIs.
The text warns that large-order rankings may not accurately represent investor flows, and that selected shares may be overvalued or affected by broader market volatility. It also notes that fixed price filters can exclude otherwise suitable companies. Suggested refinements include adding measures such as earnings per share, valuation ratios, turnover, ownership concentration, and public trading disclosures. No backtest, benchmark, transaction-cost analysis, or evidence of outperformance is provided, so the screen is a candidate-generation rule rather than a validated trading strategy.
Key ideas
- The screen combines daily amplitude, a market-capitalization ceiling, recent quarterly profitability, and a large-order flow ranking.
- Its refined rules require positive net profit in each of the latest four quarters and a top-20 large-order net-volume rank.
- Large-order rankings may not capture true capital flows and can be distorted by stock-specific factors.
- Valuation, turnover, ownership concentration, and other flow measures are proposed as possible additions.
- The document provides example implementation references but no backtest or evidence that the screen outperforms.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.