A Stock Screen Using Daily Amplitude, Prior Limit Status, and Float Market Cap

Summary

This A-share screening recipe selects stocks with daily amplitude above 1%, that were not limit-up or limit-down the previous day, and with a circulating market capitalization from 5 billion to 10 billion yuan. The post interprets amplitude and prior limit status as signs of market activity, and the market-cap range as a balance between company size and liquidity. It suggests treating the screen as a buy signal, with holding period adjusted to individual risk and return preferences.

The post supplies indicator formulas and sample data-handling code, but does not report a backtest or performance evidence. Its own caveats note that the rules omit company fundamentals and may select low-quality businesses; it also identifies risks at the extremes of market capitalization. Suggested improvements include adding profitability or valuation measures and adapting the cap range to industry context. The screen is therefore a rule-based candidate filter, not evidence that the selected stocks will outperform.

Key ideas

• The screen requires amplitude above 1%, no limit-up or limit-down close the previous day, and float market capitalization between 5 billion and 10 billion yuan.
• The post treats amplitude and prior limit status as indicators of trading activity.
• The document provides formulas and sample implementation guidance but no performance test.
• It warns that excluding fundamentals can leave the screen exposed to low-quality companies and other stock-specific risks.

Tags

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