A-Share Screen Using Amplitude, Listing Age, and Ten-Day Returns

Summary

This proposed Chinese equity screen selects stocks with daily amplitude above 1%, more than one year since listing, and a ten-day price gain greater than zero but below 35%. The post presents the gain range as a way to find recent strength while avoiding the most extreme advances, and the amplitude filter targets more volatile shares.

The author notes that the return thresholds are subjective, may exclude strong performers or admit overextended stocks, and that higher amplitude brings greater risk. Suggested improvements include evaluating the thresholds with historical data and adding other technical or industry filters. The accompanying Python example sketches the calculations but includes unfinished selection logic, and the post supplies no backtest or performance evidence. The screen is therefore an unvalidated candidate-selection proposal, not a demonstrated trading strategy.

Key ideas

• The screen requires amplitude above 1%, listing age over one year, and a ten-day return between 0% and 35%.
• The ten-day return range is intended to capture recent gains while limiting exposure to very large advances.
• The author warns that the thresholds are subjective and that volatile stocks require risk control.
• Historical evaluation and additional technical or industry filters are suggested as ways to refine the screen.
• The example implementation is incomplete and offers no performance evidence.

Tags

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