Screening Low-Priced Stocks by Ten-Day Return and Price Movement

Summary

This Chinese equity screen selects stocks priced below 12 yuan, with a positive return over the previous 10 days that remains below 35%, and a measure of price movement above 1%. The note presents the conditions as a way to combine recent upward movement, a low share price, and some activity in price. Its formula describes the movement threshold using the gap between the open and prior close, while the prose calls it amplitude, so the exact intended volatility measure is unclear.

The document supplies sample screening logic but gives no backtest results or evidence that these conditions predict future performance. It notes that the screen omits company fundamentals and industry exposure, and that recent gains may be temporary. Suggested additions include financial and market-cap measures, industry and economic-cycle considerations, and risk controls. The code example does not clearly enforce all the stated conditions on the same observation, so the screen would need careful implementation and validation before use.

Key ideas

• The stated filter requires a price below 12 yuan and a positive ten-day return below 35%.
• It also requires price movement above 1%, although the formula and prose describe this measure differently.
• The note identifies missing fundamental and industry analysis as limitations.
• Recent gains may not persist, and the document provides no test evidence for the screen.

Tags

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