Screening Chinese Stocks by Volatility, Size, Profitability, and Price Limits

Summary

This post outlines a simple China A-share selection screen using daily price range, market capitalization, profitability, and recent limit-up status. Its stated rationale is to focus on smaller companies with positive earnings and meaningful short-term movement while excluding stocks that recently reached the daily price ceiling. It also gives example rule implementations and an alternative version that adds moving-average conditions.

The author acknowledges that the screen omits many relevant dimensions and may miss attractive stocks or overemphasize recent price behavior. Suggested refinements include broader financial and technical measures, sector analysis, and considering how recently a stock hit its price limit. The post does not present backtest results, portfolio construction details, or transaction-cost estimates, so the proposed rationale should not be treated as evidence of profitability. Data definitions, timing, and the exact treatment of price limits would also need to be checked before evaluating the rules.

Key ideas

• The screen combines price amplitude, a market-cap ceiling, positive earnings, and exclusion of recent limit-up stocks.
• The stated rationale links price movement to opportunity, smaller size to growth potential, and positive earnings to company quality.
• The post recommends adding financial, technical, and industry information to broaden selection.
• It identifies limited attention to longer-term performance and other factors as risks.
• No performance test is provided to establish whether the screen has an edge.

Tags

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