Chinese Stock Screen Using Amplitude, Control, and Prior-Limit Exclusion

Summary

This proposed equity screen selects stocks with amplitude above 1 and a daily control measure above 21, while excluding stocks that closed at the upper price limit the previous day. It is presented as a short-term selection approach: the amplitude filter targets price movement, the control measure is intended to represent concentrated share control, and the exclusion avoids names thought to be affected by the prior day’s limit move. The document includes formula and Python-style references, but does not define the control measure in enough detail to assess how it is calculated.

The stated caveats are that excluding prior limit-up stocks may discard promising shares, the screen relies on a narrow set of technical conditions, and the control measure may be ambiguous. Suggested improvements include adding financial metrics and clarifying the measure. Despite mentioning machine learning as a possible enhancement, the document gives no model, backtest, or performance evidence; the screen should therefore be read as a proposed filter rather than a validated strategy.

Key ideas

• The screen combines amplitude and a daily control threshold, then removes stocks that were limit-up the prior day.
• The proposed use is short-term stock selection.
• The control measure is not clearly defined, which makes the filter difficult to evaluate.
• The document reports no backtest or evidence of returns.

Tags

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