Stock Screening by Market Capitalization, Amplitude, and Limit-Ups

Summary

This note outlines a Chinese stock screen requiring circulating market capitalization above 10 billion yuan, price amplitude above 1, and a limit-up event during 2021. It presents the size condition as a way to focus on larger companies and amplitude as a measure of price movement. A limit-up is used as a marker of recent strength or market attention. The accompanying formula refers to a prior-day amplitude and counts a qualifying price event within 25 days, while the prose describes a limit-up within the year, leaving the exact time window ambiguous.

The author warns that short-term price events may not predict future returns and that the screen ignores fundamentals and current market conditions. Suggested improvements include adding financial and industry measures and revisiting thresholds. No backtest or performance results are supplied. The sample code also contains mismatched field names and an unclear amplitude calculation, limiting reproducibility. This is a screening concept, not evidence of a validated strategy.

Key ideas

• The stated screen requires circulating market capitalization above 10 billion yuan, amplitude above 1, and a limit-up event in 2021.
• The formula also refers to prior-day amplitude and a qualifying price event within 25 days, making the time condition unclear.
• The author treats amplitude as a volatility measure and limit-ups as a sign of recent attention or strength.
• The note warns that historical limit-ups may not predict future returns and that fundamentals are excluded.
• No backtest is provided, and the sample code has unclear calculations and field names.

Tags

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