Screening Shanghai-Listed Stocks by Amplitude and Control Ratio

Summary

This post presents a Chinese equity screen combining daily price amplitude, a stock code beginning with 60, and a measure described as today’s control ratio above a threshold. It frames larger amplitude as a sign of higher volatility and the control ratio as a possible indication of upward price influence. It also suggests sorting selected stocks by market capitalization.

The post flags limitations: a technical screen can omit fundamental information, and a short-term control measure may fluctuate and overemphasize recent moves. It recommends combining the screen with other technical and fundamental analysis and longer-term trend assessment. The accompanying formula and Python example are inconsistent with the stated logic: the formula uses a sharp daily gain condition, while the Python version approximates the control ratio using turnover relative to market value. No performance evidence or validation is provided, so the selection rationale should be treated as an untested screening idea.

Key ideas

• The proposed screen targets stocks with higher daily amplitude and codes beginning with 60.
• It adds a threshold for a measure described as the current control ratio and suggests sorting by market capitalization.
• The post warns that technical filters may omit fundamentals and that short-term control measures can fluctuate.
• Its formula and Python example implement different conditions, making the intended signal ambiguous.
• No backtest or other performance evidence is supplied.

Tags

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