Screening Stocks by Volatility, Ten-Day Return, and Earnings Growth

Summary

This Chinese stock-selection example filters shares using three conditions: price amplitude above one percent, a positive ten-day return below 35%, and year-over-year net profit growth attributable to parent-company shareholders above 20% and no more than 100%. The accompanying rationale treats amplitude as a sign of active price movement, moderate recent gains as a way to avoid selecting the largest run-ups, and earnings growth as a basic check on company performance. A Python example shows calculations for the price and return filters and applies the stated earnings-growth bounds.

The document cautions that these criteria omit business quality, industry cycles, and other company factors, and that reported financial data may be unreliable. It suggests combining the screen with valuation measures or additional technical indicators. It supplies no backtest, portfolio construction method, transaction assumptions, or evidence that the filters predict returns. The code is a screening illustration rather than a complete trading strategy, and its usefulness depends on data definitions, timing, and how selected stocks are subsequently managed.

Key ideas

• The screen requires price amplitude above one percent and a positive ten-day return below 35%.
• It also selects companies with parent-attributable net profit growth above 20% and at most 100% year over year.
• The stated rationale combines price activity, recent momentum, and an earnings-growth filter.
• The source warns that the rules omit business and industry context and may rely on inaccurate financial reporting.
• It proposes adding valuation or technical measures, but provides no backtest or return evidence.

Tags

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