A Chinese Stock Screen Using Prior Limit-Up Streaks and Float Value

Summary

This post proposes a Chinese equity screening rule combining three filters: daily price amplitude above one, a three-session limit-up streak as of the previous day, and circulating market value between 5 and 10 billion yuan. It characterizes the screen as targeting relatively volatile stocks of moderate capitalization. The post also suggests prioritizing blue-chip names within the chosen capitalization range and adding fundamental measures.

The author identifies key limitations: the screen omits company fundamentals, market value can change, and broad shocks can push selected shares lower. Stop-loss and take-profit levels are suggested as risk controls. Although sample Python code is included, its conditions do not clearly correspond to every stated screening rule, and the post gives no backtest results, entry and exit specification, or evidence that the proposed filters generate returns. Treat it as an informal screening idea rather than a validated strategy.

Key ideas

• The screen selects for price amplitude above one, a prior three-session limit-up sequence, and a circulating value range of 5 to 10 billion yuan.
• The post frames the rule as a way to find volatile stocks with moderate capitalization.
• It proposes adding fundamentals and favoring blue-chip stocks as possible refinements.
• The author flags missing fundamental analysis, changing market value, and broad market shocks as risks.
• No performance evidence is supplied, and the sample code may not implement the stated rule consistently.

Tags

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