Screening Equities by Volatility, Dividend Yield, and Three Weak Sessions

Summary

This proposed Chinese-equity screen combines daily amplitude above one percent, a dividend-yield threshold above 25 percent for 2019, and three consecutive sessions described as down days. The write-up frames the amplitude filter as a way to find active stocks, the dividend condition as a yield criterion, and the recent weakness as a possible short-term setup. It includes indicator and Python examples intended to express the combined filters, then suggests adding valuation, macroeconomic, and other technical inputs.

The article supplies no backtest, candidate list, or performance evidence, so its claims about potential are not demonstrated. Its terminology and examples also leave implementation questions: the prose refers to three consecutive down sessions, while the sample formula checks closes below a moving average, and the dividend field’s meaning and historical timing are not fully specified. The author acknowledges omitted fundamentals and overfitting risk. Any implementation would need precise definitions, point-in-time data, and out-of-sample testing before the screen could support a trading decision.

Key ideas

• The proposed screen combines amplitude above one percent, 2019 dividend yield above 25 percent, and a three-session weakness condition.
• The write-up offers example formulas but no backtest results or selected-stock evidence.
• Its description of three down days differs from the sample check for closes below a moving average.
• Dividend data timing, metric definitions, and point-in-time availability need clarification.
• The author flags omitted fundamentals and overfitting as risks.

Tags

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