Screening Stocks by Market Capitalization, Amplitude, and Ten-Day Return

Summary

This stock-selection rule filters for a circulating market capitalization above 10 billion yuan, a recent amplitude above 1, and a ten-day price change greater than zero but below 35%. Its stated aim is to find relatively large stocks with notable price movement and positive but bounded short-term performance. The document includes example indicator logic and a Python implementation, though the code’s calculations do not fully align with every stated rule.

The article warns that short-term returns and volatility can distract from company fundamentals or make the screen sensitive to market themes. It suggests adding financial and industry measures and discusses model-based factor adjustment as a possible extension. No backtest or outcome data is provided, so the screen is a set of selection conditions rather than demonstrated evidence of an edge. Its parameters and implementation details would need careful review before use.

Key ideas

• The screen combines a minimum circulating market capitalization with an amplitude threshold and a positive ten-day return capped below 35%.
• The stated conditions focus on market size, price movement, and short-term performance.
• The article recommends adding company fundamentals and industry measures to broaden the selection criteria.
• It warns that market themes and short-term moves may lead to poor selections.
• No performance results are provided, and the example code may not match all stated conditions.

Tags

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