Stock Screening with Amplitude, Price, and Recent Return Filters
Summary
This note describes a simple Chinese equity screen combining daily price amplitude above 1%, a closing price of 18.5 yuan, and a positive return below 35% over ten days. It frames the filters as a way to find volatile stocks with moderate prices and recent gains, and provides example implementations in screening formulas and Python. The examples sort candidates by trading value or market heat.
The article cautions that these rules omit company fundamentals, longer-term trends, and market conditions, so they may select stocks with limited potential. It suggests adding fundamental and industry analysis, market direction, relative strength, market capitalization, and exit controls such as profit targets and stops. No backtest, performance evidence, or validation of the proposed screen is provided; the numeric rules are presented as a heuristic, and the article's implementation examples do not establish their effectiveness.
Key ideas
- The screen combines amplitude above 1%, a close of 18.5 yuan, and a positive ten-day return below 35%.\nThe article presents formula and Python examples for applying the filters and ranking candidates.\nThe method focuses on recent price behavior and does not assess fundamentals or longer-term market conditions.\nSuggested additions include industry and fundamental analysis, market capitalization, and exit controls.\nThe document reports no backtest or evidence that 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.