A-Share Screening by Limit-Up Frequency, Float Value, and Amplitude

Summary

This note describes a Chinese A-share stock screen combining three conditions: more than two limit-up sessions in the prior ten days, circulating market capitalization above 10 billion yuan, and a price-movement threshold labeled as amplitude greater than one. It frames these filters as proxies for volatility, company scale, and recent market attention, aiming to identify stocks with strong price action. It also provides example indicator and Python implementations, though the code details do not consistently map cleanly to the written conditions.

The author cautions that popular stocks may become trapped positions during market corrections and suggests adding more objective indicators, price momentum, trading disclosures, and fundamental research. The note provides no backtest, performance statistics, or evidence that the screen predicts future returns. The stated thresholds and implementation should therefore be checked carefully, especially the amplitude calculation and the definition of limit-up days, before use.

Key ideas

• The screen requires more than two limit-up days over ten days, circulating market value above 10 billion yuan, and amplitude above one.
• The conditions are presented as measures of volatility, market size, and investor attention.
• The author warns that crowded popular stocks can fall sharply during corrections.
• The note suggests adding momentum measures and fundamental research, but reports no test results.

Tags

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