Short-Term Chinese Stock Screen Using Amplitude, Control, and Limit-Price Signals

Summary

This note presents a short-term Chinese stock-selection idea based on three conditions: price amplitude above a threshold, evidence that major participants controlled the stock on the prior day, and a prior-day 9:15 matched price at the limit-down level. The stated premise is to look for shares that were recently weak but may have room for movement on the current day. A rough Python example illustrates filters for trading activity, amplitude, a match-price relationship, and relative circulating market value, although it does not clearly reproduce every condition in the written rule.

No historical results, sample selections, or testing method are reported, so the proposed opportunity is not supported by performance evidence. The note characterizes the approach as highly dependent on short-term opportunities and trading sentiment, with substantial risk, and says that it lacks deeper technical and fundamental analysis. It suggests adding such analysis or lengthening the investment horizon, but gives no tested method for doing so. The relationship between the described auction signal and the example’s data fields should be checked before implementation.

Key ideas

• The stated screen combines prior-day amplitude, major-participant control, and a 9:15 matched price at limit down.
• The rationale is to seek short-term movement after a weak prior-day price condition.
• The example code includes activity, amplitude, match-price, and relative market-value filters, but does not clearly match the full written rule.
• The note warns that the idea depends on short-term opportunities and sentiment and lacks deeper analysis.
• No backtest or 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.