Screening Chinese Stocks by Amplitude, Top List Activity, and Limit-Down Match Price

Summary

The document presents a Chinese equity screening rule that combines three conditions: prior-day price amplitude above 1, appearance on the prior day’s top trading activity list, and a prior-day 9:15 matching price at the exchange limit-down level. It interprets amplitude as a sign of short-term volatility and top-list presence as evidence of notable buying or selling activity. The combined conditions are intended to identify stocks for further review, and the article supplies example formula and Python-style implementations.

The explanation itself is not supported by reported backtest results. It acknowledges that simulated returns may differ from live outcomes and that activity-list stocks may be affected by institutional trading. It suggests adding measures such as volume, valuation, fund flows, market conditions, and news, alongside risk and capital controls. The supplied examples assume a 10% limit-down price calculation, which may not apply to all stocks or trading rules, and the data timing and implementation details need verification before use.

Key ideas

• The screen combines prior-day amplitude, top-list appearance, and a 9:15 matching price at the limit-down level.
• The article interprets large amplitude as elevated short-term volatility and top-list appearance as notable trading activity.
• Example implementations intersect the three conditions to produce a stock list.
• The author cautions that simulated results can differ from live performance and that top-list activity can be affected by institutions.
• Additional market measures and explicit risk controls are suggested, but no performance evidence is reported.

Tags

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