Screening A-Shares by Intraday Amplitude and Prior-Day Limit-Down Match

Summary

This document outlines a proposed A-share screen that excludes Beijing-listed stocks, selects shares whose high-to-low amplitude exceeds 1%, and looks for a prior-day 9:15 matching price equal to the limit-down price. It frames the amplitude filter as a way to identify stocks with larger price movement and the auction-price condition as a possible sign of weak market sentiment. A short Python example sketches these filters, but leaves the final selection of fundamentally attractive stocks unfinished.

The article recommends supplementing the technical and sentiment criteria with company performance, market share, trading activity, and other indicators. It notes that a limit-down match can have different explanations, while relying only on technical conditions may miss fundamental risks and encourage short-term decisions. The proposed refinement is therefore a research screen that calls for further analysis, not a fully specified entry-and-exit strategy. No historical test, sample of selected stocks, or return evidence is presented, so the usefulness of the conditions and their thresholds remains unverified.

Key ideas

• The proposed screen excludes Beijing-listed shares and requires high-to-low amplitude above 1%.
• It also searches for a prior-day 9:15 matching price at the limit-down price.
• The document interprets the conditions as possible signs of volatility and weak sentiment, while acknowledging multiple explanations.
• Its code sketch leaves the final fundamental selection step incomplete.
• No backtest or return evidence is given, and the screen needs broader analysis before use.

Tags

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