Screening for High Amplitude Stocks After a Limit-Down Opening Match

Summary

This note describes a Chinese stock screen combining amplitude greater than one, a prior-day 9:15 matching price at the limit-down level, and trading activity during 2021. The stated rationale is to identify volatile stocks alongside a signal of weak market sentiment. It also gives example screening expressions and a Python-style illustration that sorts qualifying names by popularity. These examples describe the filter; they do not provide performance evidence or a validated trading rule.

The note warns that the screen emphasizes technical conditions and short-term price behavior while omitting company fundamentals and broader market risks. It suggests adding fundamental measures, other indicators, and capital and risk controls. The historical date restriction also limits how directly the selection rule can be applied to current trading. The code is explicitly presented as illustrative, and the document does not explain how to verify the matching-price condition, handle data quality, or test the strategy across different periods.

Key ideas

• The screen combines amplitude above one with a prior-day 9:15 matching price at the limit-down level.
• It restricts eligible stocks to those with trading activity during 2021.
• The note frames volatility and weak sentiment as the rationale for the selection conditions.
• It provides illustrative screening examples but no evidence of strategy returns.
• It recommends adding fundamental analysis and risk controls.

Tags

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