A Chinese Stock Screen Combining Volatility, Trend, and Limit-Up History

Summary

The document describes a Chinese equity selection rule combining three conditions: daily price amplitude above a threshold, the stock price above its five-day moving average, and at least two limit-up events within a rolling 500-day window. The proposed rationale is to find volatile shares with a short-term upward trend and a history of strong market attention. The page also suggests adding fundamental and broader market analysis before selecting stocks for investment.

It provides sample indicator and Python implementations, but the examples are not fully consistent: the stated amplitude condition is greater than one, while the Python version uses a 0.01 threshold. The limit-up calculation also uses a simplified fixed percentage and may not account for varying price limits or other market rules. No backtest results, transaction costs, execution rules, or risk controls are reported. The document warns of chasing short-lived themes and false signals, so the screen should be treated as a rough candidate filter rather than evidence of expected returns.

Key ideas

• The screen combines price amplitude, position above a five-day moving average, and repeated limit-up events over 500 days.
• The author presents volatility, short-term trend, and market attention as the rule’s selection rationale.
• The document recommends supplementing technical filters with company fundamentals and market context.
• The sample implementations use inconsistent amplitude thresholds and simplified limit-up logic.
• No performance study or execution and risk-management rules are provided.

Tags

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