Chinese Stock Screen for Amplitude, Limit-Ups, and Listing Age

Summary

This Chinese stock-selection note describes a daily screening rule based on price range, prior limit-up events, and company listing history. It selects shares with daily amplitude above 1%, at least two apparent limit-up events during the prior 500 days, and more than five years since listing. The note gives formula examples and a Python sketch, and explains amplitude as a rough risk measure, limit-up frequency as a signal of market expectations, and listing age as a marker of operating history.

The approach is presented as a screening idea, not a tested trading system: no returns, benchmark comparison, or validation results are reported. The accompanying Python logic does not exactly match the stated daily amplitude condition, and its limit-up test uses a price ratio that may not correctly identify limit-ups across all stocks or market rules. The author flags the risk of buying near a price peak and suggests adding fundamental, macroeconomic, or other technical filters. Any implementation would need careful data and rule validation.

Key ideas

• The screen combines daily amplitude above 1%, at least two limit-up events in 500 days, and a listing history longer than five years.
• The note provides formula and Python examples for implementing the criteria.
• The author treats amplitude as a rough risk indicator and limit-up frequency as a proxy for market expectations.
• No backtest or performance evidence is supplied, and the code may not precisely implement the written rule.
• The author suggests additional fundamental, macroeconomic, and technical checks.

Tags

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