A-Share Screen for High Amplitude, Smaller Float, and No Recent Limit-Up

Summary

This A-share stock screen looks for daily amplitude above 1%, tradable shares no greater than 5.5 billion, and no limit-up on the previous day. The article frames these conditions as a way to identify actively moving, smaller-float stocks that have not just experienced a limit-up. It includes formula and Python examples; the Python version intersects the conditions and ranks candidates by turnover before selecting a subset.

The document cautions that volatility and float size alone do not reveal a company’s financial health or prospects, and proposes adding fundamental and industry considerations. It gives no backtest or evidence that the filter predicts returns. The code’s timing and limit-up calculation may also need checking: the written rule concerns yesterday, while the sample calculations use shifted prices and a stated 9.5% threshold, which may not apply uniformly across stocks.

Key ideas

• The screen requires amplitude above 1% and a float of at most 5.5 billion shares.\nStocks that hit a limit-up the previous day are excluded.\nThe example code ranks remaining candidates by turnover.\nThe article warns that float size and volatility alone ignore company fundamentals.\nNo performance tests are reported, and the example’s timing assumptions merit review.

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