Introducing Price-Move Context Cards for Taiwan Stocks

A price-move context card is a per-stock, per-day summary of a large price move: its magnitude bucket, an era-aware price-limit flag (±7% before 1 June 2015, ±10% after), how much of the move was excess over the market (TAIEX), and whether an official corporate event explains it. Across a dry run of 266,097 big-move rows, 90.4% had no official event on record — most large single-day moves in Taiwan are not explained by a filing. The dataset is being built; this introduces what it will contain.

What a card answers

How big was the move — a magnitude bucket: 5–7%, 7–9.5%, or ≥9.5% (the ≥9.5% band is the price-limit zone).
Did it hit the daily price limit — an era-aware flag: ±7% before 1 June 2015, ±10% on/after (method 'approx' until an exact per-day limit table lands).
How much was excess over the market — the move minus the TAIEX move that day (a −10.23% stock on a −1.78% market is −8.45% excess, not just 'down with the market').
Was there an official event — a no-official-event flag when no filing/corporate action is on record for that stock-day.

The real numbers (dry run over 266,097 rows)

The candidate build over Taiwan history produced 266,097 big-move card rows. The magnitude split: 5–7% moves were 43.9% (116,915), 7–9.5% were 11.8% (31,339), and ≥9.5% (limit zone) were 17.6% (46,903). A further 26.7% (70,940) were 'relative-only' hits — under a 5% absolute move but ≥4% excess over the market. By track, 55.7% (148,154) qualified on both the absolute and the relative test.

The headline finding: most big moves have no filing

Of the 266,097 rows, 240,681 (90.4%) carried no official event on record for that stock-day. That is the point of the card: a large move is not the same as a news event. If your pipeline assumes every big move maps to a disclosure, this says otherwise nine times out of ten — the card lets you separate event-driven moves from the far larger set that are flow- or market-driven.

Example cards (from the deterministic sample)

move = -10.23%   market = -1.78%   excess = -8.45%   limit-flag = true    event = nonemove =  +5.14%   market = +0.24%   excess = +4.90%   limit-flag = false   event = nonemove =  +7.00%   market = -1.07%   excess = +8.07%   limit-flag = false   event = none

Honest limits (stated, not hidden)

Market-relative is blind on some days: the TAIEX reference is null before 2009-01-05 and on data gaps, so those rows carry only the absolute track — they are honestly marked, not guessed.
The limit flag is method 'approx': it fires within about 0.5% of the era's band; an exact per-day limit (rounding, special sessions) is a later refinement. A single fixed 9.5% flag would miss every pre-2015 7%-limit hit, so the flag is era-corrected.
The factor evidence behind it is marked unverified: cross-sectional IC for the candidate factors was measured over a sample of 160 liquid ordinary equities across 7,498 trading days (as of 2024-12-31), and is labelled 'unverified' until an out-of-sample check confirms it — the numbers are shown with that caveat, not as settled alpha.

Available now

The price-move context dataset is live: it is sellable and queryable per symbol through the API (registry key price_move_context, measured through 2026-07-31). It is a derived, insert-only daily dataset. The statistics quoted above still carry their original provenance — they were measured on the pre-release dry run, not recomputed against the served endpoint. The era-aware limit logic it relies on is also available on its own through the stock-price-limit-daily dataset.

常見問題

1What is a price-move context card?

A per-stock, per-day summary of a large price move: its magnitude bucket, an era-aware price-limit flag, its excess over the market (TAIEX), and whether an official event explains it.

2Do most big Taiwan stock moves have a news event behind them?

No. In a dry run of 266,097 big-move rows, 90.4% had no official event on record for that stock-day — most large single-day moves are flow- or market-driven, not filing-driven.

3Can I query the price-move context dataset now?

Yes — it is live and queryable per symbol (registry key price_move_context). Note the figures quoted in this article come from the pre-release dry run and were not recomputed against the served endpoint. The era-aware daily price-limit information it uses is also available on its own via the stock-price-limit-daily dataset.

4Why does the price-limit flag need to be era-aware?

Because Taiwan's daily price limit has not always been the same width. A move that hit the limit under an earlier rule is not the same percentage as one that hits it today, so a fixed threshold would mislabel history. The flag is evaluated against the limit in force on that date.

5What counts as a large move?

Moves are bucketed by magnitude rather than judged against a single cut-off, and each card also carries the move's excess over the TAIEX, which separates a stock-specific move from the market simply moving that day.

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