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

Summary

This Chinese stock-selection note proposes filtering shares by three conditions: daily amplitude above 1, at least two limit-up sessions over the preceding 500 days, and circulating share capital no greater than 5.5 billion shares. The article treats amplitude and limit-up history as signs of market activity or sentiment, while the float-size ceiling narrows the candidate universe. It provides example indicator expressions and sample screening logic, but does not report a backtest or measured trading results.

The stated limitations are that amplitude and limit-up counts are short-term characteristics, the float-size rule may exclude otherwise attractive stocks, and the screen omits fundamental valuation. Suggested extensions include market capitalization, valuation measures, chart patterns, and trend filters. The article does not specify portfolio construction, entry and exit rules, transaction costs, or how limit-up events should be adjusted for market-specific rules. Its criteria are therefore a screening hypothesis, not a complete trading system or demonstrated source of returns.

Key ideas

• The candidate stocks must meet an amplitude threshold and have multiple limit-up sessions over 500 days.
• The screen also caps circulating share capital at 5.5 billion shares.
• The author interprets amplitude and limit-up frequency as indicators of market activity.
• The note acknowledges that the filter excludes fundamentals and may narrow the stock universe.
• No performance testing or complete trade-management method is provided.

Tags

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