A-Share Screen Using Price Amplitude, Company Quality, and Limit-Ups

Summary

The document proposes screening Chinese stocks for daily price amplitude above one percent, favorable company characteristics, and at least two limit-up events within a 500-day period. It frames the inputs as a mix of volatility, company quality, and market attention. Suggested refinements include adding technical indicators, financial measures, industry context, and market sentiment, followed by choosing a trading approach suited to the investor’s objectives.

The article does not provide backtest results or evidence that these criteria produce an edge. “Favorable” company quality is not defined, and the sample formula and Python example conflict with the stated 500-day limit-up rule: they use a 20-period count or a price-change threshold and do not clearly capture the intended event window. The screen is therefore a rough selection concept whose definitions and implementation would need validation before use.

Key ideas

• The proposed screen combines daily amplitude, company-quality criteria, and repeated limit-up events.
• The suggested refinements include more technical, fundamental, and sentiment inputs.
• Company quality is described broadly without a precise operational definition.
• The sample implementations do not consistently match the stated 500-day limit-up condition.
• The document provides no backtest evidence for the screen’s performance.

Tags

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