Stock Screening by Amplitude, Turnover, and Listing Age

Summary

The post proposes a Chinese stock screen combining price amplitude, prior-day actual turnover, and time since listing. It selects stocks with amplitude above 1, turnover between 3% and 28%, and a listing history longer than one year. It includes sample indicator and Python snippets intended to implement these filters, as well as a brief description of using the resulting selection in a strategy template.

The article gives no backtest, return data, or comparison showing that these thresholds identify stable stocks. It acknowledges exposure to market conditions and company-specific risks, including possible manipulation, and suggests adjusting the screen to market conditions or combining it with other measures. The examples are illustrative and may require adaptation to the data source and field definitions; in particular, the prose and sample calculations should be checked for consistency before use.

Key ideas

• The proposed screen combines price amplitude, prior-day turnover, and listing age.
• It uses stated thresholds of amplitude above 1, turnover from 3% to 28%, and listing age over one year.
• The post provides example implementations but no evidence that the screen is profitable.
• Market conditions, company-specific factors, and potential manipulation are named risks.
• The author suggests adapting thresholds and combining the screen with other measures.

Tags

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