A Stock Screen Combining Volatility, Limit-Down Signals, and Concentration

Summary

This Chinese A-share screening post describes a rule set combining amplitude above 1, a previous-day 9:15 matching price at the limit-down level, and a stated holder-concentration condition. It proposes selecting the first n stocks and provides indicator-formula and Python examples, with a popularity ranking in the sample code.

The post frames the screen as seeking volatile stocks with market interest, but gives no performance evidence or validation. Its concentration formula contains contradictory bounds: the same ratio is required to exceed 0.7 and remain below 0.2, so no value can satisfy both. The accompanying code also uses indicator functions not defined in the example. The author flags sector concentration and divergence between price and underlying value as risks, and suggests combining technical and fundamental measures and diversifying across less-correlated securities.

Key ideas

• The screen combines amplitude, a prior-day opening auction limit-down condition, and a holder-concentration ratio.
• The stated concentration bounds are mutually incompatible, making the rule impossible to satisfy as written.
• The examples provide no backtest results or evidence that the screen is profitable.
• The post recommends adding other analytical measures and diversifying across sectors and securities.

Tags

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