Screening Chinese Stocks by Price Amplitude, Limit-Ups, and Positive P/E

Summary

This document describes a daily stock screen combining price movement and a basic valuation condition. It selects stocks with amplitude above 1, at least two limit-up events within the prior 500 days, and a positive P/E ratio. The rationale is that recent large moves and repeated limit-ups indicate short-term strength, while positive P/E excludes firms with negative earnings multiples.

It sketches indicator and Python implementations, but provides no backtest results or evidence that the screen is profitable. The author notes that P/E is a static measure and may not reflect a company’s full earnings outlook; source data may also be inaccurate. The approach focuses on short-term trading and gives little consideration to longer-term fundamentals. Suggested refinements include setting P/E bounds and adding valuation or growth measures.

Key ideas

• The screen combines amplitude above 1 with at least two limit-ups in 500 days and positive P/E.
• The author treats repeated limit-ups and large price movement as signs of short-term strength.
• Positive P/E is used as a basic fundamental filter, but it does not capture the full earnings outlook.
• The document offers example implementations but reports no tested performance.

Tags

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