Screening Small Profitable Stocks by Volatility and 10-Day Average
Summary
The document describes a Chinese equity screen combining four conditions: daily amplitude above 1, an opening price near the 10-day moving average, market capitalization no greater than 10 billion yuan, and positive net income. It explains the intended rationale: seek volatile stocks with openings near a recent price trend, smaller company size, and no reported loss. Formula and Python examples illustrate how to calculate or combine the filters, including a 5% range around the moving average and quarterly profit data.
The article offers no backtest, performance figures, or evidence that the screen improves returns. It cautions that financial data may be unreliable and that a strict market-cap ceiling can leave few candidates. It suggests adding technical and financial conditions or widening the capitalization limit. The examples also depend on specific data fields and reporting periods, so the precise screen may vary with implementation; the article does not specify portfolio construction, trade timing, or risk controls.
Key ideas
- The screen requires amplitude above 1 and an opening price within 5% of the 10-day moving average.
- It limits candidates to companies valued at no more than 10 billion yuan.
- It excludes companies with negative net income using financial statement data.
- The article warns that data quality and a narrow market-cap limit can constrain the screen.
- It provides no measured evidence of returns or risk-adjusted performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.