Screening Large-Capitalization Stocks After a Limit-Down Match

Summary

This document presents an equity screen combining three conditions: intraday amplitude above 1%, circulating market capitalization above 10 billion yuan, and a previous-day 9:15 matching price at the lower price limit. It interprets amplitude as a sign of trading activity and market capitalization as a size filter, while treating the prior limit-down event as a possible indicator of negative news or an event affecting the stock. Formula and Python examples illustrate the proposed filters, though the code adds further restrictions, such as exchange, turnover, and market-cap ranking criteria.

No backtest or outcome data supports the screen’s usefulness. The note cautions that yesterday’s information may no longer reflect today’s price response and that high amplitude can include speculative trading. It suggests adding turnover, traded value, company fundamentals, and industry context, or using more current signals. The screen identifies candidates for further analysis; it does not specify a trading plan or demonstrate predictive power.

Key ideas

• The screen combines amplitude above 1%, circulating market capitalization above 10 billion yuan, and a prior-day lower-limit matching price.
• The note treats market capitalization as a company-size filter and amplitude as a rough activity measure.
• The Python example adds exchange, turnover, and market-cap ranking rules beyond the stated core conditions.
• The document supplies no performance evidence and warns that prior-day signals may have limited relevance today.

Tags

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