Small-Cap Stock Screen Using Amplitude and 10-Day Returns

Summary

This document describes a short-term Chinese equity screen combining three conditions: price amplitude above 1%, free float no larger than 5.5 billion shares, and a positive 10-day return below 35%. It explains the intended rationale: select relatively volatile stocks of limited size that have recently risen, then rank qualifying names by turnover rate and retain a fraction of the universe.

The article provides example implementations in indicator formula syntax and Python. It does not report backtest results or establish that the criteria predict future returns. Its own caveats include changing market conditions, the risk of short-term price moves and pullbacks after strong gains, and the need to consider market and industry trends. It also suggests diversification and combining short- and long-term holdings, but does not specify rules for those additions. The screen is therefore a basic selection recipe rather than a fully defined trading system; it leaves entry timing, exits, position sizing, and transaction costs unspecified.

Key ideas

• The screen requires amplitude above 1%, free float at or below 5.5 billion shares, and a positive 10-day return below 35%.
• It ranks stocks that pass all three filters by turnover rate and selects a subset of the qualifying names.
• The article frames the criteria as a short-term screen for volatile, relatively small stocks with recent gains.
• It gives no backtest evidence and warns that market conditions and sharp reversals can weaken the approach.

Tags

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