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

Summary

The document proposes screening Chinese stocks for daily price range above a threshold, market capitalization below a limit, positive net profit, and a minimum period since listing. It explains these filters as a way to focus on more volatile, smaller companies with positive earnings and a longer public trading history. Its example implementation adds exclusions for special treatment stocks, a weekday condition, and a short moving average crossover.

The author cautions that relying on a few filters can overlook other drivers of performance and that longer listed companies are not necessarily better investments. Suggested refinements include combining valuation measures such as price to earnings, price to book, and PEG, segmenting companies by listing age, and considering capital flows or ratings. It also mentions exits and rebalancing as risk controls. No backtest results or performance evidence are provided, and the listing age threshold is left unspecified.

Key ideas

• The proposed screen combines price range, market capitalization, profitability, and listing age conditions.
• The example also excludes special treatment stocks and applies weekday and moving average filters.
• The author recommends adding valuation and other data to reduce reliance on a few indicators.
• No backtest results are provided, and the required listing age is unspecified.

Tags

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