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

Summary

The note describes an A-share screening rule that combines current amplitude with a prior-day opening auction signal. It selects stocks whose amplitude exceeds one, whose 9:15 matching price was at the limit down yesterday, and that did not close at the limit up. The final candidates are ranked by price-to-earnings ratio, with the top n selected.

The author suggests that large amplitude may indicate volatility, while the prior limit-down signal may reflect market sentiment; excluding prior limit-up stocks is intended to filter unusual moves. The note provides example indicator conditions and a Python-style reference, but does not report a backtest or performance evidence. It cautions that the screen is simple and omits fundamentals and other technical context, and that excluding limit-up stocks may remove viable candidates. Possible additions include valuation, technical indicators, and risk controls.

Key ideas

• The screen combines amplitude, a prior-day 9:15 limit-down matching price, and exclusion of prior limit-up stocks.
• Candidates are ranked by price-to-earnings ratio before selecting a chosen number.
• The document offers illustrative indicator and Python references but provides no performance test.
• The author notes that the narrow rules omit broader fundamental and technical context.

Tags

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