Chinese Stock Screen Using Amplitude, Limit-Ups, and Daily Return

Summary

This Chinese-market stock screen selects shares whose daily amplitude exceeds 1%, that recorded at least two limit-up moves within a 500-day lookback, and whose return falls between -5% and 2.6%. The article also proposes sorting candidates using a score combining return, amplitude, and limit-up frequency. It supplies formula references and a Python example, though the example’s data handling and stated filters do not consistently match the described screening logic.

The post frames the approach as a short-term technical screen and cautions that it can miss fundamental information and carries risk. It suggests adding company and industry factors and managing exposure. No backtest results, benchmark comparison, or evidence of profitability is reported, so the thresholds and ranking should be treated as an unvalidated screening idea rather than a demonstrated strategy.

Key ideas

• The screen filters for amplitude above 1%, at least two limit-up moves in 500 days, and returns from -5% to 2.6%.
• The proposed ranking combines return, amplitude, and limit-up frequency.
• The post characterizes the method as technical and oriented toward short-term trading.
• It recommends considering company and industry fundamentals alongside the technical filters.
• No backtest or profitability evidence is provided, and the code example may not implement the stated filters consistently.

Tags

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