Screening Chinese Stocks by Price Amplitude and Prior Limit-Ups

Summary

This document describes a Chinese equity screen combining daily price amplitude with a count of limit-up moves during 2021. It frames amplitude as a measure of price movement and the limit-up count as a rough signal of market interest or momentum. The stated selection rule requires amplitude above one and at least two limit-ups in the year. It also provides example formulas and code references for implementing those conditions, though the examples use differing amplitude calculations and data handling.

The article offers no backtest, selected-stock examples, or performance evidence. Its discussion is a screening rationale rather than a validated trading system: it does not specify entry timing, exits, position sizing, or transaction costs. It notes that market conditions and company-specific factors can affect results, and suggests adding technical and fundamental measures such as moving averages, MACD, valuation, and profitability metrics. The thresholds are tied to a historical year, so the screen may not transfer to other periods without reassessment.

Key ideas

• The screen combines a price-amplitude threshold with at least two limit-up events during 2021.
• The article treats amplitude as a measure of price movement and limit-up frequency as a possible signal of strong market sentiment.
• It includes example formulas and implementation references, but the examples do not fully align on how amplitude is calculated.
• No backtest or trading performance evidence is provided.
• The screen omits execution and portfolio rules and may need additional market and company analysis.

Tags

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