Screening Stocks by Volatility, 2019 Dividends, and Profit Growth

Summary

This stock screen combines three filters: daily price amplitude above 1%, a 2019 dividend ratio above 25%, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. The document describes amplitude as a way to find more volatile shares, while the dividend and earnings filters aim to select companies with substantial distributions and growing profits. It provides example implementations in two trading-data environments, but reports no backtest or realized performance.

The author cautions that relying on one historical dividend year and profit growth omits other company fundamentals and macroeconomic conditions, and that screening on historical data can overfit. Suggested refinements include adding valuation and macroeconomic measures and using cross-validation. The stated final logic also calls for considering these broader factors, so the screen is best understood as an initial selection rule rather than a complete investment process.

Key ideas

• The screen requires daily amplitude above 1%, a 2019 dividend ratio above 25%, and parent-attributable profit growth above 20% and at most 100%.
• The filters combine price volatility with dividend and earnings-growth criteria.
• The document supplies example implementations but gives no performance evidence.
• A single dividend year and limited fundamentals can leave the screen exposed to omitted risks and overfitting.
• It suggests adding valuation and macroeconomic factors and using cross-validation.

Tags

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