Screening Chinese Stocks by Amplitude, Control, and Recent Limit-Ups

Summary

The document presents a short-term Chinese equity screening rule using three conditions: amplitude above 1, a current control measure above 21, and at least one limit-up event within the previous 25 days. It offers formula references for two platforms, where the conditions are combined into a selector and ranked. The accompanying explanation treats amplitude as a volatility filter, the control measure as an indicator of market influence, and a recent limit-up as evidence of strong price performance.

No backtest results, trade definitions, or performance statistics are supplied, so the screen’s effectiveness cannot be assessed from this material. The author notes that recent price action can dominate the selection, that limit-up conventions differ across markets, and that fundamental data, trading costs, and operational constraints are not addressed by the basic rule. The suggested improvements are to add other fundamental and technical measures and account for market-specific limit-up behavior and transaction costs.

Key ideas

• The screen selects stocks using amplitude, a current control measure, and a recent limit-up event.
• It requires at least one limit-up within the preceding 25 days.
• The document provides formula references for implementing and ranking the selection conditions.
• The rule may overemphasize recent price action and omits fundamental analysis and trading costs.
• The document reports no backtest evidence to establish whether the screen is profitable.

Tags

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