Chinese Stock Screening with Price, Amplitude, and Limit Filters

Summary

This note describes a short-term screen for Chinese equities using three conditions: daily high-low amplitude above one percent, a closing price below 20, and a prior-day close that was not near the stated upper limit threshold. It presents the rules as a way to focus on volatile, relatively low-priced shares while avoiding stocks that had just surged to the limit.

The note gives indicator formulas and a Python-style outline, but no backtest results or evidence that the screen predicts returns. Its own discussion warns that strict short-term filters may miss popular themes and overlook longer-term trends or company fundamentals. It suggests adding financial measures, further technical indicators, and broader market context; those additions are proposals rather than validated improvements. The supplied examples also do not fully align on how amplitude and the prior-day limit condition are calculated, so an implementation would need careful definition and testing.

Key ideas

• The screen combines daily amplitude, a price ceiling, and a prior-session limit-move filter.
• The stated amplitude threshold is above one percent, and the closing price must be below 20.
• The note offers formula and code examples but reports no performance evaluation.
• Its narrow short-term focus may exclude thematic leaders and omit fundamental or market-wide information.

Tags

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