A Chinese Stock Screen for Early Momentum and Limit-Up Candidates

Summary

This Chinese-language post outlines an intraday stock screen intended to find candidates associated with a limit-up approach. Its filters include price amplitude above a threshold, exclusion of stocks marked ST, selection before 10:00, a five-period closing-price high condition, and concentration below 70%. The accompanying Python example translates these conditions into data filters, including a rolling five-period maximum for the close.

The author says the concentration filter was added to avoid overly concentrated stocks and reduce risk, while acknowledging that its range may cause missed or mistaken selections. The post also warns that the screen may overlook industry trends and company quality, and suggests evaluating other factors such as valuation, share price, and revenue. It supplies no backtest results, return figures, or evidence that the screen predicts limit-ups, so it should be read as a screening recipe rather than a demonstrated strategy.

Key ideas

• The screen combines an amplitude threshold with exclusions for ST stocks and a pre-10:00 selection time.
• A five-period closing-price high condition is used as a momentum-style filter.
• The concentration measure must be below 70% under the stated rule.
• The author warns that concentration settings can produce false inclusions or exclusions.
• Industry conditions and company fundamentals are not covered by the core screen.

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