A Chinese Equity Screen for Large Amplitude, Three Limit-Ups, and Opening Limit-Down

Summary

This article describes a Chinese stock selection screen combining three conditions: a daily high-low amplitude above one, a three-session limit-up sequence on the prior day, and a prior-day 9:15 indicative matching price at the limit-down level. It frames amplitude as a rough activity measure and the limit-up sequence as a sign of market attention, while treating the opening price condition as a possible warning of weakness or risk. It sketches sequential filtering and provides example indicator and Python logic, though the code has platform-specific assumptions and some definitions do not clearly align with the prose.

The article notes that the screen may have low precision, can over-rely on technical signals, and omits company fundamentals and industry differences. It suggests adding financial statement measures, industry and valuation context, and sector rotation considerations. These are proposed refinements rather than evaluated improvements: the document reports no backtest, returns, benchmark, or implementation validation. The screen should therefore be understood as an idea requiring careful operational definitions and independent testing.

Key ideas

• The proposed screen combines price amplitude, a prior three-session limit-up sequence, and a 9:15 indicative price at limit-down.
• The article interprets amplitude as a rough measure of activity and the limit-up sequence as evidence of attention.
• It warns that technical screening alone may miss company fundamentals and industry differences.
• It proposes adding financial, valuation, industry, and sector-rotation measures.
• The article supplies example logic but no backtest or evidence that the proposed refinements improve performance.

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