Screening Shanghai Stocks by Daily Range and Dividend Yield

Summary

This stock screen combines three conditions: daily price amplitude above 1, a dividend yield above 25% for 2019, and a Shanghai listing code beginning with 60. The article gives example formula and Python implementations, with the Python example sorting qualifying stocks by turnover. It frames the approach as a way to combine short-term movement, dividend income, and a preferred market segment.

The document provides no backtest, performance data, or evidence that these filters predict returns. It cautions that relying on volatility and investor preferences can omit important company factors and expose the screen to chasing recent price moves. It suggests adding valuation and financial measures, but does not specify how to test or weight them. The examples are illustrative and may require adjustment to fit current data sources and definitions; in particular, the article does not clarify the measurement period or exact meaning of its amplitude threshold.

Key ideas

• The screen selects stocks with amplitude above 1, a 2019 dividend yield above 25%, and codes beginning with 60.
• The example implementation ranks qualifying stocks by turnover.
• The article presents no historical performance test for the screen.
• It warns that short-term volatility and preference-based filters can overlook broader company conditions.

Tags

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