Chinese Stock Screening with Daily Range, Listing Age, and Price Change
Summary
This proposed stock screen combines a price-range threshold, a minimum listing age, and a bounded price-change condition. The stated rule seeks shares with amplitude above 1, listed for more than a year, and a change between minus 2% and plus 5%. The article interprets amplitude as a sign of trading activity and the listing-age filter as a way to exclude newer stocks. It includes an indicator expression and a Python example for filtering securities.
No backtest, performance figures, or benchmark comparison are provided. The author notes that the rule excludes fundamentals, broader market conditions, and sector rotation, and cautions that price moves can reflect temporary sentiment and volatility. The implementation does not fully match the stated strategy: it does not check amplitude or listing age, and it calculates a change across recent daily open and close observations rather than an auction-specific move. Thus, the code is not direct evidence that the described screen was tested.
Key ideas
- The stated screen uses amplitude above 1, listing age greater than one year, and price change from minus 2% to plus 5%.
- The article treats amplitude as an activity filter and listing age as a way to exclude newer shares.
- The Python example does not implement the stated amplitude or listing-age conditions.
- Its price-change calculation uses daily observations rather than a clearly defined auction signal.
- The document offers no backtest and says the screen omits fundamentals and broader market context.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.