Screening Chinese Stocks for High Amplitude, Prior Limit-Ups, and Three Down Days

Summary

This stock screen combines three conditions: daily amplitude above one percent, at least two apparent limit-up moves in the prior 500 days, and three consecutive declines in closing price. The stated rationale is to find historically active stocks that have recently weakened, potentially identifying lower entry levels. The document provides indicator formulas and sample Python code, but the code’s implementation does not cleanly match every stated condition: for example, its amplitude test uses an average range ratio, and the decline test aggregates price differences.

No backtest results or performance evidence are provided. The author notes that a falling-price sequence can exclude stocks that have already become oversold or are bottoming, and that amplitude and past limit-ups omit other relevant information. Suggested extensions include adding technical and fundamental measures and applying risk controls. The screen should therefore be treated as a simple candidate filter rather than evidence of an investment edge.

Key ideas

• The screen requires amplitude above one percent, at least two limit-up events in 500 days, and three consecutive lower closes.
• The proposed rationale is to identify volatile stocks with a history of sharp gains that have recently weakened.
• The example code’s amplitude and decline calculations do not exactly implement the written criteria.
• The document reports no backtest evidence for the screen’s profitability.
• Recent declines can reflect oversold conditions or a developing bottom, so the signal has substantial limits.

Tags

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