Small-Cap Stock Screening with Volatility, Trend, Ownership, and Size Filters
Summary
This document describes a Chinese equity screening approach that combines price movement, short-term trend, ownership concentration, and market capitalization. It selects stocks with daily amplitude above 1, prices above the five-day moving average, ownership concentration below 20%, and market value below 5 billion yuan, then recommends reviewing company fundamentals and industry conditions before investing. The article provides example formulas and Python snippets for applying these filters, but they are illustrative and may require adaptation to data sources and implementation details.
The rationale is that elevated amplitude may identify active stocks, price above the moving average suggests upward direction, lower concentration may indicate more distributed ownership, and smaller capitalization can make stocks more sensitive to capital flows. The author cautions that the screen may return few candidates and that technical filters can miss important company information. No performance results or empirical validation are presented. The suggested improvements include combining fundamental, technical, and industry analysis, researching each candidate, and diversifying a portfolio; machine learning and larger datasets are mentioned as possible extensions.
Key ideas
- The screen combines amplitude, price relative to a five-day moving average, ownership concentration, and market capitalization.
- The stated thresholds are amplitude above 1, concentration below 20%, and market value below 5 billion yuan.
- The article treats technical filters as an initial screen and recommends further assessment of fundamentals and industry conditions.
- The examples are reference implementations and may need adjustment to work with actual data sources.
- The author flags a potentially small candidate set and recommends diversification.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.