Screening Stocks by Amplitude, Market Capitalization, and Turnover

Summary

The screen selects stocks using three filters: price amplitude above one, circulating market capitalization above 10 billion yuan, and prior-day turnover above 8%. The accompanying explanation frames these as filters for price movement, company size, and trading activity. It also provides a formula reference and a Python example intended to illustrate how to retrieve data and apply the conditions.

The document warns that the screen ignores company fundamentals, that high activity can reflect speculative behavior, and that turnover can be unstable. It suggests adding financial and technical factors or combining inputs with machine learning. No backtest or performance evidence is reported. The code's amplitude calculation and data-field interpretation may not match the stated high-to-low amplitude condition, so its implementation should be checked before use. The screen is a candidate selection rule, not a complete portfolio or execution strategy.

Key ideas

• The screen combines price amplitude, circulating market value, and prior-day turnover thresholds.
• The rationale is to identify larger, active stocks with price movement.
• The document cautions that turnover can be unstable and may reflect speculative activity.
• Fundamental factors and historical evaluation are suggested, but no performance evidence is supplied.
• The sample implementation may not calculate amplitude exactly as described.

Tags

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