Screening Chinese Stocks by Limit-Up History, Price, and Amplitude

Summary

This note outlines a Chinese stock screen based on three conditions: daily price amplitude above 1%, share price below 12, and at least two limit-up sessions within the prior 500 days. It interprets amplitude as a sign of trading activity, the price threshold as a low-price filter, and prior limit-ups as evidence of market attention. It provides example formulas for calculating amplitude, checking price, and counting limit-up events, followed by a general suggestion to combine the filters.

The article does not present backtests, return statistics, or evidence that the criteria identify future winners. It warns that market conditions can change, screening data may lag, and the count of limit-up sessions is uncertain. Suggested refinements include considering industry and fundamental data, adding technical filters such as a moving average, and adjusting the historical event threshold to current conditions. The stated explanations are hypotheses about the filters, not demonstrated causal effects.

Key ideas

• The screen requires amplitude above 1%, a price below 12, and at least two limit-up sessions in 500 days.
• The article associates these filters with activity, low nominal price, and market attention.
• It provides example indicator logic but no strategy performance evidence.
• Market regime changes and stale data can undermine the screening rules.
• The note suggests adding industry, fundamental, and technical information.

Tags

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