Screening Chinese Stocks by Volatility, Size, Profitability, and Board

Summary

This stock screen combines four filters: price amplitude above a stated threshold, market capitalization below a stated ceiling, positive net profit, and exclusion of the STAR Market. The accompanying discussion presents the amplitude filter as a way to find more actively moving shares, the size cap as a focus on smaller firms, and positive earnings as a basic quality condition. It also notes that small-cap stocks can be more volatile and that excluding the STAR Market may omit growth companies.

The document gives formula and Python-style references for applying the filters to Chinese A-share data, but it does not provide a backtest, portfolio construction rules, trading triggers, or evidence of returns. It cautions that the selection logic is narrow and suggests incorporating additional valuation measures and industry context. The screen is therefore a starting universe definition rather than a complete, validated trading strategy.

Key ideas

• The screen selects shares with elevated price amplitude and market value below the stated limit.
• It excludes loss-making companies and STAR Market listings.
• The source identifies higher volatility as a risk of smaller-cap selections.
• The screen may omit promising firms and can contain selection weaknesses because it uses few criteria.
• No backtest or return evidence is provided.

Tags

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