Screening Chinese Stocks by Volatility, Size, Listing Code, and Profitability

Summary

This post describes a Chinese equity screen that selects stocks with daily amplitude above 1, codes beginning with 60, market capitalization below 10 billion yuan, and positive net profit. It also suggests sorting by a five-day moving average. The author frames higher amplitude as potential opportunity, the code prefix as a way to target a particular market segment, smaller capitalization as a growth-oriented filter, and profitability as a basic check on business performance.

The document includes formula and Python-style examples, but they do not fully agree: one formula uses a negative net-profit condition despite the prose calling for profitable companies, and the market-cap figures in the examples differ. No backtest results or evidence that these filters improve returns are provided. The author notes that financial measures can change and that the size restriction excludes larger established firms, and suggests combining the screen with trend, momentum, technical, and fundamental analysis. The screen should therefore be treated as a starting point whose data definitions and conditions need verification.

Key ideas

• The stated screen combines amplitude above 1, a code prefix of 60, a market-cap ceiling, and positive net profit.
• The post proposes a five-day moving average for ranking candidates.
• The formula and Python examples conflict on profitability and market-cap thresholds.
• No performance evidence is supplied, and the proposed filters may omit mature large companies.
• The author recommends combining the criteria with broader technical and fundamental analysis.

Tags

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