Screening Chinese Stocks for High Amplitude and Prior Limit-Down Signals

Summary

The document proposes a Chinese equity screen requiring a daily price amplitude above 1%, a listing history longer than one year, and a prior session’s 9:15 call-auction matched price at the limit-down level. It presents the amplitude filter as a way to find active stocks and the listing-age condition as a way to avoid newer shares. The limit-down condition is framed as a signal for tracking recent market risk. A formula reference and Python example illustrate parts of the screening logic, including stock universe restrictions and price comparisons.

The article does not provide backtest results or evidence that the screen predicts returns. It warns that broad market moves may make the selected stocks difficult to rank and that the method omits company fundamentals, industry conditions, and macroeconomic factors. It suggests adding technical, valuation, stability, or risk measures, but does not test those refinements. The example code’s thresholds and data handling should be checked against the intended market rules before use.

Key ideas

• The screen combines a price-amplitude threshold, more than one year since listing, and a prior call-auction limit-down condition.
• The stated rationale is to favor active shares while tracking recent market risk.
• The example focuses on a subset of Chinese listed stocks and uses historical price fields.
• The article provides no performance study and notes that market-wide moves may weaken selection.
• Fundamental, industry, and macroeconomic information is absent from the proposed screen.

Tags

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