Screening Stocks by Prior-Day Amplitude, Leaderboard Appearance, and Control Ratio
Summary
The document describes a short-term Chinese equity screen combining three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading leaderboard, and a current control ratio above 21%. It interprets these filters as seeking volatile stocks with strong recent attention and buying pressure, with the expectation that momentum may continue. Indicator and Python examples illustrate how to intersect the three sets of qualifying securities.
The article warns that high-amplitude stocks can move sharply in either direction, leaderboard records do not represent the whole market, and the control ratio may be imprecise because it depends on trading volume. It offers possible refinements such as adding technical or valuation measures, capital-flow and sector data, and industry constraints. No backtest, performance results, or evidence that the conditions predict future gains is provided, so the proposed rationale remains a hypothesis requiring validation.
Key ideas
- The screen requires prior-day amplitude above 1%, a previous-day leaderboard appearance, and a current control ratio above 21%.
- The author treats volatility, market attention, and buying pressure as possible signs of further upside.
- High volatility and imperfect leaderboard or volume-derived data can make signals unreliable.
- Additional technical, valuation, capital-flow, and industry filters are suggested as possible refinements.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.