A Chinese Stock Screen Combining Reversal, Limit-Up, and Valuation Filters

Summary

This document proposes screening Chinese equities for higher daily amplitude, a recent reversal pattern, and a three-day limit-up streak, then adds a price-to-earnings constraint relative to the industry average. It explains the reversal and consecutive limit-ups as short-term signals of changing price direction and strong market sentiment. Example implementations are provided for charting software and Python, alongside instructions for using the selection rule in a platform template.

The post cautions that the original short-term technical screen omits company fundamentals and valuation, and suggests adding valuation measures. Its examples do not clearly match every stated rule: the code conditions appear to test individual limit-up days rather than explicitly confirming the full prior three-day streak, and the cited fundamental-data date is historical. No backtest results, universe definition, transaction costs, or risk-adjusted performance are supplied, so the screen's investment value is unproven.

Key ideas

• The proposed screen combines price amplitude, a reversal signal, consecutive limit-ups, and relative valuation.
• The post presents example implementations in charting software and Python.
• The author notes that technical signals can misread price direction and omit fundamentals.
• The examples may not implement the stated three-day limit-up condition consistently.
• No performance evidence or trading-cost analysis is provided.

Tags

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