Screening Chinese Stocks by Price Amplitude, Limit-Down Auction, and Turnover

Summary

This Chinese equity screen selects stocks whose price amplitude exceeds 1, whose previous day's 9:15 indicative matching price was at the limit-down level, and whose turnover lies between 2% and 9%. The post presents the conditions as a way to combine volatility, market sentiment, and trading activity, with the intended use being short-term or swing-oriented stock selection. It includes formula references and a Python example, and suggests adding technical or industry data to broaden the assessment.

The article offers no backtest, performance statistics, or evidence that the screen produces stable results. It acknowledges that amplitude alone is an incomplete measure of volatility and that market, operational, and company-specific risks remain. The code is labeled as a reference, and its platform-specific conditions and data fields would need validation before use. In particular, the screen's interpretation depends on the market's auction and limit rules, while the turnover filter does not by itself establish liquidity or a viable execution price.

Key ideas

• The screen requires amplitude above 1, a prior-day 9:15 indicative price at limit down, and turnover between 2% and 9%.
• The post associates the filters with volatility, sentiment, and trading activity.
• It proposes adding technical and industry information to reduce reliance on a small set of factors.
• No test results are supplied, and the platform-specific formulas require validation.

Tags

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