Screening Chinese Stocks by Amplitude, Turnover, and Prior Limit-Up Status

Summary

This stock selection rule screens for shares with an intraday amplitude above the stated threshold, prior-day turnover above the stated amount, and no limit-up close on the prior day. The article presents the screen as a way to find active, liquid stocks while excluding recent limit-up moves. It also references calculating amplitude from the session high, low, and open.

The author notes that the criteria are simple, omit fundamental distinctions, and may miss promising companies. Suggested extensions include adding financial, industry, or management factors and adjusting thresholds to market conditions. The accompanying code examples are illustrative and include inconsistent references to current-day volume and a fixed historical date, so they do not clearly implement the stated prior-day turnover rule. No backtest methodology or performance results are supplied; the screen is a basic selection filter, not a validated strategy.

Key ideas

• The screen selects stocks by intraday amplitude, prior-day turnover, and prior-day limit-up status.
• The stated intent is to find active stocks while avoiding those that just hit the upper price limit.
• The criteria omit company fundamentals and may exclude stocks with potential.
• The article suggests adding financial, industry, or management filters and adapting criteria to market conditions.
• The code examples do not consistently match the stated prior-day conditions, and no performance evidence is provided.

Tags

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