Screening Chinese Stocks for Amplitude, Control, and Recent Limit-Ups

Summary

This short-term Chinese stock screen combines daily price amplitude above one, a controlling-share measure above the stated threshold, and more than two limit-up sessions in the previous ten days. The post frames these conditions as a way to find actively moving stocks that have recently attracted market attention. Its proposed refinement adds a price-to-earnings ceiling and compares earnings per share and trailing return on equity with a benchmark, then ranks qualifying stocks by a heat measure.

The article discusses the risks of chasing limit-up moves, the role of unpredictable events, and the limited precision of a binary count. It recommends evaluating limit-up behavior across stock groups, considering fundamentals, and scoring recent observations rather than relying only on a raw count. Formula and Python examples are provided, but the article offers no backtest results or evidence that the filters predict returns. Some sample definitions and measures may require careful validation before use.

Key ideas

• The initial screen combines price amplitude, a controlling-share measure, and recent limit-up frequency.
• The proposed refinement adds valuation and profitability comparisons against a benchmark.
• The post identifies event risk and the imprecision of binary limit-up counts as limitations.
• It suggests evaluating limit-up behavior by stock group and scoring observations over time.
• The examples are not accompanied by performance results and need validation.

Tags

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