A Chinese Stock Screen Combining Intraday Control, Range, and Limit-Ups

Summary

The document describes a short-term Chinese stock selection screen. It combines an amplitude threshold, a measure of current-day share control, and evidence of recent limit-up moves, aiming to identify stocks with notable price activity and possible near-term strength. It suggests refining the screen with valuation or dividend measures and broader market context, and mentions data-mining or machine-learning approaches as possible extensions.

The write-up warns that recent limit-ups alone do not capture fundamentals or changing market conditions, while amplitude and control measures may be noisy indicators of longer-term prospects. Its proposed refinement asks for at least three limit-ups in the past month, but the sample formula appears to count positive daily returns rather than limit-up events. The amplitude expression and threshold also merit checking against the intended units and platform definitions. No backtest results or evidence of profitability are provided, so the screen is a hypothesis to evaluate rather than a validated strategy.

Key ideas

• The screen combines price amplitude, a current-day control measure, and recent limit-up activity.
• The suggested refinement adds a requirement for multiple limit-ups and optional fundamental filters.
• Short-term price and control measures may mislead when used without market or company context.
• The provided formula may not implement the stated limit-up condition, so its logic needs verification.
• The document gives no performance evidence or risk-adjusted backtest results.

Tags

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