Chinese Stock Screen Using Amplitude, Float Size, and Prior Limit-Up Exclusion

Summary

The document describes a Chinese stock selection rule combining price amplitude above 1, tradable shares no greater than 5.5 billion, and exclusion of stocks that hit the daily upper price limit on the previous day. Its rationale is to seek stocks with noticeable movement and a relatively modest share float while avoiding names that may have become overheated after a limit-up session. The example implementation further ranks qualifying stocks by turnover rate and selects a fraction of the universe, although the precise ranking rule is not fully explained.

The post presents formula and Python examples, but supplies no backtest, performance figures, or evidence that the criteria predict returns. It notes that narrow screening may miss emerging themes and that excluding prior limit-up stocks can forgo continued gains. Some sample calculations use shifted prices and limit thresholds whose alignment should be checked carefully before use. The rule is a candidate screening filter, not a complete trading strategy; it gives no entry timing, exit plan, or portfolio risk controls.

Key ideas

• The screen requires amplitude above 1 and a tradable float of at most 5.5 billion shares.
• It excludes stocks that reached the upper price limit on the preceding day.
• The example ranks qualifying stocks by turnover rate before selecting a subset.
• The document provides code examples but no performance test or return evidence.
• Narrow criteria may miss hot sectors, and high-amplitude stocks can carry elevated risk.

Tags

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