Screening for Active Chinese Stocks Using Amplitude, Relative Volume, and Limit-Ups

Summary

This post outlines a short-term Chinese equity screen using price amplitude, relative volume, and recent limit-up behavior. Its stated selection rule requires amplitude above 1%, relative volume between 1.5 and 6, and at least one limit-up event during the previous month. The indicator example expresses volume relative to a five-day average and uses a price-move threshold to represent a limit-up; the Python sketch attempts to apply related conditions across stocks.

The author argues that amplitude and relative volume identify active shares while avoiding the most extreme volume readings, and that a recent limit-up helps find stocks with market attention. No performance statistics, backtest design, or trading rules are provided, so the suggested stability and usability are unsubstantiated. The post also warns that the screen is narrow, may select weak companies, and can be affected by delayed limit-up data. It recommends adding technical, fundamental, industry, and sector checks. The code sketch’s data fields and calculations would need validation against the intended definitions before relying on it.

Key ideas

• The screen selects for amplitude above 1%, relative volume from 1.5 to 6, and a limit-up within the past month.
• The indicator example compares volume with a five-day average and uses a price-change threshold for limit-up behavior.
• The post provides no evidence that the selection rule produces profitable or stable trades.
• It identifies narrow criteria and potentially delayed limit-up data as limitations.

Tags

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