Screening Chinese Stocks by Amplitude, Listing Age, and Prior Limit-Up

Summary

The document describes a stock-selection screen combining three conditions: daily amplitude above one percent, more than one year since listing, and no limit-up close on the previous day. It presents the rationale that activity may identify moving stocks, listing-age filtering excludes newer issues, and removing prior limit-up stocks may leave room for further gains. A Python example sketches how to retrieve listed shares and daily price data, then apply filters.

The screen is a simple technical selection rule rather than a complete trading system. The document itself notes market and policy uncertainty, the possibility of missing continued rallies after limit-up sessions, and the absence of fundamental analysis. It proposes adding other technical and risk measures, but supplies no performance evaluation or evidence that the filters predict returns. The example code also appears inconsistent with the stated amplitude definition, so its implementation should be checked before use.

Key ideas

• The screen selects stocks with daily amplitude above one percent and listing age greater than a year.
• It excludes stocks that closed at the limit-up price on the prior day.
• The suggested rationale is to favor active shares while avoiding newer listings and recent limit-up moves.
• The document identifies market uncertainty and omission of company fundamentals as limitations.
• No backtest evidence is presented, and the sample code may not match the stated amplitude rule.

Tags

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