Screening Chinese Stocks by Volatility, Turnover, and Dividend Ratio

Summary

This post describes a Chinese equity screen combining three conditions: daily price amplitude above 1, previous-day turnover above 60 million, and a 2019 dividend ratio above 25%. It presents the first condition as a way to find more volatile stocks, turnover as a liquidity measure, and a high dividend ratio as a possible sign of earnings capacity and cash flow. The article also includes a brief Python example intended to apply these filters, but does not provide a backtest or performance evidence.

The proposed screen is framed as a short-term selection approach. Its stated limitations are that dividend measures alone can overlook company fundamentals, and that the three filters omit broader market direction and other relevant factors. The post suggests adding valuation measures such as price-to-earnings or price-to-book ratios and managing risk and holdings in response to market conditions. The example’s calculations and field definitions are not fully explained, so the thresholds should be treated as a proposed screen rather than a validated strategy.

Key ideas

• The screen selects stocks with amplitude above 1, prior-day turnover above 60 million, and a 2019 dividend ratio above 25%.
• The author associates amplitude and turnover with volatility and liquidity.
• The post proposes that a high dividend ratio may reflect earnings strength and cash flow.
• The article warns that these filters can omit fundamentals and overall market conditions.
• It suggests adding valuation measures and managing risk and position holdings.

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