A Chinese Stock Screen for Recent Limit-Up Activity and Volatility

Summary

This stock-selection idea looks for shares with an amplitude above 1 and more than two limit-up days in the prior ten days, while excluding shares that hit the limit yesterday. It uses recent limit-up frequency as a proxy for market attention and amplitude as a measure of price movement. The stated rationale is to seek active stocks while avoiding names continuing a limit-up streak.

The document suggests adding fundamental and technical measures, such as company size, growth, and profitability, and applying risk controls. It provides a formula reference and illustrative backtest code, but no performance results or evidence that the screen produces excess returns. The description has implementation ambiguities: the formula and code do not clearly define amplitude or limit status, and the code's additional ranking and entry conditions are not fully consistent with the stated screen. The idea is therefore a screening concept rather than a validated strategy.

Key ideas

• The screen requires more than two limit-up days in the previous ten days and excludes a limit-up close yesterday.
• Amplitude above 1 is used to favor stocks with larger price movement.
• The author presents recent limit-up frequency as a measure of trading attention.
• The document recommends combining the screen with fundamental measures and risk controls.
• No backtest performance is reported, and some implementation details are unclear.

Tags

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