Chinese Stock Screen for High Amplitude and Prior-Day Non-Limit-Up Stocks

Summary

This document outlines a Chinese equity selection rule based on amplitude above 1, a year filter of 2021, and excluding stocks that hit the upper daily price limit on the previous day. It presents indicator expressions and sample Python-style filtering logic, framing high amplitude as a sign of greater price movement and the exclusion as a way to avoid chasing recent limit-up stocks. The resulting names are described as a candidate pool rather than a complete portfolio.

No performance results, sample evaluation, or comparison with a benchmark are supplied, so the stated rationale is not demonstrated by evidence in the document. The year condition makes the example specific to historical 2021 data rather than a clear current screening rule. The code also has implementation ambiguities, including data-column assumptions and how the prior-day return is computed after filtering. The author notes that high volatility raises risk and that excluding limit-up stocks may miss rebound opportunities, recommending additional fundamental measures and explicit stop-loss and take-profit rules.

Key ideas

• The proposed screen combines amplitude above 1 with a 2021 date condition.
• It excludes stocks that were limit-up on the preceding trading day.
• The filtered stocks form a watchlist or investment candidate pool, rather than a tested portfolio.
• The document reports no backtest or evidence of improved returns.
• High volatility and missed rebound opportunities are identified as limitations.

Tags

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