Stock Screening by Amplitude, Prior Limit Status, and Market Board

Summary

This stock selection approach filters for shares with amplitude above 1, excludes those that were limit-up the previous day, and removes stocks from China's STAR Market. The article frames the board exclusion as a way to avoid mixing securities with distinct characteristics into a general screen. Its Python example uses exchange data to identify recent limit-up and limit-down stocks, removes specified board codes, checks prior-day percentage change, and returns a limited list of symbols.

The document does not provide a complete formula for measuring amplitude in the example, a backtest, or performance evidence. It cautions that relying on these conditions alone can omit technical and fundamental information, while market uncertainty may cause unusual price moves. It suggests combining the screen with indicators such as MACD or Bollinger Bands and valuation measures such as price-to-earnings or price-to-book ratios, and using stop-loss rules during volatile periods. The code includes additional exclusions and implementation assumptions, so its actual universe may differ from the headline screen.

Key ideas

• The stated screen requires amplitude above 1, no prior-day limit-up, and exclusion of STAR Market stocks.
• The example uses exchange data and board-code filters to construct a stock list.
• The article supplies no backtest or performance evidence.
• The author identifies missing technical and fundamental factors as a limitation.
• Possible additions include other indicators, valuation measures, and stop-loss rules.

Tags

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