Screening Metaverse Stocks by Float, Market Value, and Buying Activity

Summary

The document outlines a proposed screen for stocks associated with the metaverse theme. Its final stated rule selects companies with market value no higher than 10 billion yuan, circulating shares no greater than 5.5 billion, and a daily increase in holdings above 5%. The initial description omits the market-value cap, so the article's final rule is more specific. It presents placeholders for indicator formulas and Python code, with the intended approach combining thematic membership, size constraints, and a measure of investor activity.

The article offers no backtest or performance evidence, and the code leaves key indicators undefined. It warns that a single activity measure can bias selections, that the share-count restriction does not ensure liquidity, and that a high increase in holdings does not establish investment value. It recommends adding fundamental, technical, and macroeconomic inputs, but these improvements are suggestions rather than a tested model.

Key ideas

• The final screen combines metaverse classification, market value capped at 10 billion yuan, float capped at 5.5 billion shares, and an increase-in-holdings measure above 5%.
• The initial description and final rule differ because only the final rule states a market-value cap.
• The document's formulas and code are incomplete, and no empirical results are reported.
• The article cautions that the activity measure alone does not establish value and that the float limit does not remove liquidity risk.

Tags

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