Screening Chinese Stocks by Volatility, Recent Gains, and Market Capitalization

Summary

This post describes a Chinese equity screen combining daily price range, recent performance, and company size. It seeks stocks with an amplitude above one percent, a positive ten-day return below 35 percent, and market capitalization of at least two hundred million yuan. The stated rationale is to favor stocks showing activity and moderate recent gains while retaining some liquidity. The listed formula and Python example offer implementation references, and the post suggests ranking candidates by a heat measure.

The document gives no backtest, performance statistics, or evidence that these filters predict returns. Its explanation itself cautions that large price swings can mean high risk and that price behavior alone misses company fundamentals and broader market conditions. It recommends supplementing the screen with more meaningful indicators and financial information. The sample code and formula should be checked carefully before use, since their definitions and calculations may not map cleanly to the prose description.

Key ideas

• The screen combines daily amplitude, ten-day price change, and a minimum market capitalization.
• It aims to find stocks with positive but bounded recent gains and some trading liquidity.
• The post suggests ordering candidates by a heat measure.
• The document provides no backtest or evidence of predictive performance.
• It advises considering fundamentals and other indicators alongside price filters.

Tags

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