A Chinese Stock Screen for Volatility, Recent Limit-Ups, and a Limit-Down Open

Summary

This stock-selection idea builds a watchlist from three conditions: daily price amplitude above one percent, at least one limit-up event in the prior 25 days, and a previous-day 09:15 matching price at the limit down. The accompanying rationale treats large amplitude as a sign of volatility, a recent limit-up as evidence of market interest, and the sharp opening indication as a possible pullback opportunity. The post also includes formula and Python examples intended to express the screen.

The author flags that the opening indication reflects short-term sentiment and may not represent underlying value. The screen omits company fundamentals and financial measures, and the post acknowledges that volatile stocks can produce losses. It suggests adding valuation or other indicators and portfolio risk controls, but supplies no backtest results or evidence that the conditions predict returns. The code examples do not clearly demonstrate the full stated lookback and opening-price logic, so implementation details should be checked before use.

Key ideas

• The screen combines amplitude above one percent, a limit-up event within the prior 25 days, and a limit-down matching price at the previous day's open.
• Its rationale is to find volatile shares that have recently attracted buying interest and then sharply weakened.
• The author warns that the opening indication is a short-term sentiment signal rather than a valuation measure.
• The proposed screen excludes fundamentals and needs risk limits and validation before trading.

Tags

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