A Chinese Stock Screen Using Five-Day Strength and Prior Limit-Up Exclusion

Summary

This Chinese stock-selection post describes a technical screen for shares with daily amplitude above one, excluding ST-designated companies and stocks that hit the daily price limit the previous day. The screen is intended for selections made before 10 a.m. Its code proxy for the named five-part limit-up method requires the close to be at or above its five-day moving average on each of the last five observations. It then excludes stocks flagged as having a prior limit-up event.

The post provides no performance data or backtest results. It cautions that the screen ignores company fundamentals, may discard otherwise strong stocks because of the prior-day exclusion, and may miss candidates that rose sharply without reaching the limit. It suggests adding fundamental measures and risk controls, including stop-loss rules, and considering exclusion based on repeated recent limit-ups instead. The supplied code is an illustrative implementation; the post does not establish that its calculations faithfully represent a validated trading strategy.

Key ideas

• The screen combines amplitude, non-ST status, a five-day moving-average condition, and exclusion of prior-day limit-up stocks.
• The suggested timing is before 10 a.m.
• The code represents the named limit-up method with five consecutive closes at or above a five-day average.
• The post gives no evidence of profitability or backtest performance.
• The strategy omits fundamentals and may filter out potential opportunities.

Tags

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