A Breakout and Limit-Up Filter for Chinese Equities

Summary

This stock-selection proposal combines volatility and momentum conditions to find Chinese equities with pronounced price movement. Its initial screen looks for an amplitude threshold, at least one daily gain of 10% or more during the recent 25 trading days, and at least two limit-up events within 500 days. The author then revises the proposal to require at least three such events within 300 days, and suggests adding financial quality filters and technical indicators such as Bollinger Bands or KDJ.

The article provides formula and Python-style references for constructing screening conditions, but parts of the proposed fundamental and indicator logic are placeholders. It gives no backtest results, portfolio rules, execution assumptions, or evidence that the screen predicts returns. It also acknowledges risks from ignoring fundamentals and from treating historical limit-up events as proof of future profitability; the threshold changes and added filters are suggestions rather than validated improvements.

Key ideas

• The initial screen combines a price-amplitude condition with a recent large daily gain and repeated limit-up events.
• The proposal changes its limit-up requirement from two events in 500 days to three in 300 days.
• The author recommends considering financial quality and additional technical indicators, but leaves those filters unspecified.
• The document warns that the screen can select weak businesses and that limit-up history may reflect speculation rather than durable strength.
• No backtest or live trading evidence is presented, so the suggested refinements remain unvalidated.

Tags

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