Screening Stocks by Amplitude, Prior-Day Trading-List Appearance, and Gains

Summary

This Chinese equity screen selects stocks with amplitude above 1 that appeared on the prior day's public trading activity list and have a positive return on the current day. The note presents these filters as a combination of short-term volatility, market attention, and positive price momentum. Formula and Python examples show an intersection of the three conditions, with a price-based sort in the formula example.

The author cautions that selecting only current-day gainers may miss stocks with longer-term potential, that a narrow focus on heavily traded names can overlook other candidates, and that the screen may be imprecise or high-risk. Suggested extensions include technical and fundamental data, adjusting the return threshold for market conditions, and predictive models. The document provides no backtest, sample statistics, or evidence that the filters produce excess returns. Its examples also do not clearly resolve the timing of the prior-day list data against the current-day return, so implementation timing needs care.

Key ideas

• The screen combines amplitude above 1, a prior-day appearance on the trading activity list, and a positive current-day return.
• The approach targets volatile stocks receiving market attention with positive short-term price movement.
• The note flags narrow selection, possible missed opportunities, and imprecision or risk.
• It gives example logic but no performance evidence, and the data timing requires careful interpretation.

Tags

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