Stock Screening with Volatility, Dividend Yield, and a Fixed Price

Summary

This post describes a Chinese equity screening rule combining daily price range, a historical dividend measure, and a fixed share price. Its stated logic selects stocks whose high-to-low amplitude exceeds a threshold, whose 2019 dividend ratio is above a cutoff, and whose closing price matches a specified level. It includes illustrative indicator and Python examples for combining the conditions, while noting that implementation details may need adjustment.

The author presents volatility as a measure of price fluctuation and dividend yield as a possible signal of company profitability, but provides no backtest, performance data, or evidence that the filters produce superior returns or lower risk. The post itself flags possible out-of-sample failure, changing data, sensitivity to market price movement, and missed opportunities from a fixed-price condition. It suggests adding valuation or volume variables and a trend filter, though these proposals are not tested. The rules are therefore a screening example rather than a validated strategy, and the dividend and amplitude definitions require careful verification before use.

Key ideas

• The screen combines price amplitude, a 2019 dividend measure, and a fixed closing price.
• The post supplies illustrative implementations but does not report backtest results.
• Its author identifies factor failure, data changes, and fixed-price sensitivity as risks.
• Additional valuation, volume, or trend filters are suggested without supporting tests.

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