Screening Shanghai-Listed Stocks by Volatility and Recent Market Activity

Summary

This note proposes screening stocks with codes beginning 60 for amplitude above 1 and a recent limit-up event. It associates larger amplitude with greater price movement and treats a recent limit-up as a sign of market attention. The article’s final description broadens the idea to recent market performance, including limit-ups, sustained price increases, and fund flows. It supplies formula and Python examples that add rolling price and flow conditions.

The screen is framed as a way to shortlist active stocks, not as a tested trading strategy. The document warns that historical price behavior alone may not reflect investment value and that limit-up stocks can face irrational short-term moves or subsequent losses. Its formula and code use multiple rolling conditions that do not map cleanly to the initial description, while the time window also shifts from one month to three months. It provides no backtest or performance evidence and recommends considering company fundamentals and additional filters.

Key ideas

• The initial screen combines amplitude above 1, a stock code beginning with 60, and a limit-up during the prior month.\nThe expanded version considers recent price increases and fund flows over a longer period.\nThe article cautions that historical activity and limit-up events do not establish fundamental value.\nThe supplied examples include rolling conditions whose definitions differ from the initial screen.\nNo backtest results or measured returns are reported.

Tags

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