A Stock Screen Combining High Amplitude, Limit-Up Activity, and Auction Turnover

Summary

This post proposes screening Chinese shares for price amplitude above 1, excluding special-treatment stocks, applying a five-session limit-up method, and requiring prior-day opening-auction turnover above 0.26. It describes choosing before 10 a.m. and gives example code that calculates a five-session closing high, filters stock names, and applies an amplitude and turnover condition.

The post frames the filters as a way to find volatile shares with upward tendencies and recent market interest. It offers no performance results or backtest evidence, and the code's rolling closing-high condition is not a clear implementation of a five-stage limit-up method. The author acknowledges that the fundamental screening is narrow and that fast market moves may make selected stocks unsuitable; additional financial, size, and volume measures are suggested.

Key ideas

• The screen combines amplitude, non-ST status, recent limit-up behavior, and prior-day auction turnover.
• It is intended for stock selection before 10 a.m.
• The example uses a five-session closing maximum as its representation of the stated limit-up method.
• No returns or backtest results are reported, and the post notes that the criteria are incomplete.

Tags

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