Chinese Stock Screen Using Amplitude, Market Capitalization, and Prior Limits

Summary

This note describes a Chinese equity screen requiring daily price amplitude above a stated threshold, circulating market capitalization above a stated level, and no limit-up move on the prior day. It supplies indicator logic and a Python-style example that ranks stocks by circulating capitalization, checks recent daily bars, and returns a requested number of candidates.

The article says the screen is intended to combine activity, company scale, and the absence of a recent limit-up move. It flags the risk that selecting for larger amplitude can increase volatility and that market or industry weakness may raise portfolio risk. It suggests adding fundamentals such as profitability, leverage, or valuation measures, and adjusting thresholds over time. The document gives selection rules but no backtest results, performance evidence, or detailed portfolio construction guidance; its sample implementation also depends on external market data and specific date inputs.

Key ideas

• The screen combines a minimum price amplitude with a minimum circulating market capitalization.
• It excludes stocks that reached a limit-up condition on the previous day.
• The example ranks candidates by capitalization and checks daily price data before selection.
• The author warns that amplitude can bring greater volatility and suggests adding fundamental filters.
• No backtest or performance evidence is included.

Tags

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