Screening Stocks by Amplitude, Auction Activity, and Recent Limit-Ups

Summary

This Chinese stock-screening proposal selects shares with amplitude above 1%, a product of previous-day turnover and the ratio of today’s opening-auction volume to yesterday’s volume between 0.5 and 2, and at least one limit-up event in the prior 25 days. The stated aim is to find volatile, actively traded stocks with recent market attention. The article suggests adding financial and fundamental measures, as well as considering liquidity and ownership concentration when evaluating limit-up candidates.

The document provides a Python example, but it reports no backtest or performance evidence. It also acknowledges that recent price activity does not establish long-term value and that the screen omits company financials. The code’s data fields and conditions are not fully defined, so it does not establish that the implementation faithfully measures the prose criteria. This is best read as a short-term activity screen with explicit gaps, not as a validated strategy or a complete investment process.

Key ideas

• The screen requires amplitude above 1%, a turnover and auction-volume ratio between 0.5 and 2, and a recent limit-up event within 25 days.\nIts intended target is volatile, actively traded stocks with recent market attention.\nThe author recommends adding fundamentals and financial data to broaden the selection process.\nLiquidity and ownership concentration are raised as factors that may affect limit-up stocks.\nNo backtest evidence is given, and the example code does not fully define its data fields.

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