Chinese Stock Screening with Amplitude, Limit-Up Patterns, and Order-Book Imbalance

Summary

This Chinese stock-screening post describes a proposed selection rule combining price amplitude above 1, exclusion of stocks marked ST, a five-part limit-up method, and first-level bid volume greater than ask volume. It says selection is intended before 10 a.m. The accompanying example calculates a high-low or previous-close based amplitude, filters names containing ST, checks whether the close equals its rolling five-session maximum, and compares displayed bid and ask quantities.

The document provides a rule description and illustrative code, but no backtest, performance statistics, or evidence that the signals predict returns. The example's rolling-close condition does not fully specify the named five-part limit-up method, and the timing condition is not implemented in the code shown. The author cautions that technical and order-flow inputs do not capture company fundamentals, and suggests adding industry and fundamental analysis and evaluating the strategy over time. The stated rules should therefore be treated as a screening hypothesis, not a validated trading system.

Key ideas

• The screen combines amplitude, ST-stock exclusion, a five-part limit-up approach, and bid-versus-ask volume.
• The post intends the stock selection to take place before 10 a.m.
• Its sample code uses a five-session rolling closing-price maximum as a proxy condition.
• No backtest or evidence of profitability is presented.
• The author recommends adding fundamental or industry factors and tracking results over time.

Tags

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