Stock Screening by Volatility, Ten-Day Returns, and Company Type

Summary

This Chinese stock-screening note combines three filters: daily amplitude above 1, a positive ten-day return below 35%, and a selected company type. Its rationale is to find shares with meaningful movement and recent gains while avoiding the strongest recent run-ups, then narrow results by business category. The examples identify defense and petroleum and petrochemical companies as possible categories, and sort candidates by a heat measure.

The note warns that narrow industry choices can distort results and that company or sector conditions may make opportunities scarce or volatile. It recommends broader sector coverage and a stronger company information base. It provides indicator and Python examples, but no backtest, performance data, or detailed definition of the company-type filter; the stated rationale should therefore be treated as a screening hypothesis rather than demonstrated evidence.

Key ideas

• The screen looks for daily amplitude above 1 and a positive ten-day return below 35%.
• It adds a company-type filter, with defense and petroleum and petrochemical examples.
• The note presents volatility and moderate recent gains as potential ways to identify candidates.
• Narrow sector selection and company or industry conditions can reduce or distort the opportunity set.
• No performance test is provided to establish whether the screen is profitable.

Tags

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