Chinese Stock Screening by Daily Amplitude, Price, and Prior Limit-Ups

Summary

This note describes a Chinese equity screen combining daily price amplitude above 1%, a closing price of 18.5 yuan, and at least one limit-up event during 2021. It presents the conditions as a way to find active stocks with a past burst of upward price movement, and gives an indicator-formula reference and a Python example for applying the filters. The article also suggests ordering candidates by trading value and adding fundamental, industry, and market-trend checks before selection.

The rationale is that larger amplitude may indicate room for price movement and a prior limit-up may attract speculative interest. These are hypotheses, not evidence of predictive performance: the note provides no backtest or return data. It warns that limit-up behavior can be affected by manipulation and that the short-term screen ignores longer-term business and market conditions. The examples also contain implementation inconsistencies, including a sorting field not populated in the Python results and a limit-up test that may not reliably identify such events. Treat the rules as an illustrative screen, not a validated strategy.

Key ideas

• The screen requires amplitude above 1%, a close of 18.5 yuan, and a limit-up during 2021.
• The proposed rationale links amplitude with trading activity and prior limit-ups with speculative attention.
• The note recommends adding fundamental, industry, and market-trend analysis.
• It warns that the filters omit long-term company conditions and may be vulnerable to distorted limit-up data.
• No backtest results establish that the screen predicts returns.

Tags

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