A Chinese Stock Screen Combining Amplitude, Declining Closes, and ST Exclusion

Summary

This post describes a stock-selection screen for Chinese equities combining daily amplitude above one percent, a 2021 date restriction, exclusion of ST-designated stocks, and a condition labeled as a five-part limit-up method. Its reference formulas and Python sketch define that last condition using counts of declining closes over a 60-session window compared with a rolling average. The screen is presented as a way to create a candidate investment pool, not as a complete entry, exit, or portfolio strategy.

The page offers implementation examples but no performance results, backtest design, or validation that the rules predict future returns. It acknowledges reliance on historical data, sensitivity to changing market conditions, and the possibility that the filters miss other stocks. The stated rules also differ in places across the examples, so implementation details such as the amplitude denominator and stock-name exclusions would need checking before research use.

Key ideas

• The screen combines an amplitude threshold, a 2021 date filter, and exclusion of ST-designated stocks.
• Its so-called five-part method is represented by a rolling count of declining closes compared with a rolling average.
• The post supplies formula and Python examples but reports no strategy performance evidence.
• The author cautions that historical filters may lose relevance as market conditions change.

Tags

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