A Chinese Stock Screen Using Volatility, 龙虎榜 Activity, and Limit-Ups

Summary

The screen targets Chinese stocks with a daily amplitude above 1%, appearance on the prior day's 龙虎榜 (top trading list), and more than two limit-up days in the previous ten sessions. It combines recent price movement, reported trading attention, and repeated limit-ups to identify stocks associated with short-term market themes. The document includes example indicator and Python logic for combining these conditions.

The rationale is that higher amplitude may signal trading opportunity, while 龙虎榜 presence and repeated limit-ups may indicate market attention. These are hypotheses rather than demonstrated predictive effects: the document provides no performance results or backtest evidence. It warns that the approach depends heavily on market热点 and that counting limit-ups may introduce statistical bias. It suggests supplementing the screen with fundamental and technical measures and adapting it by market and industry. The narrative also shifts between counting limit-up days and requiring consecutive limit-ups, so the exact rule needs clarification before implementation.

Key ideas

• The screen combines amplitude above 1%, prior-day 龙虎榜 appearance, and more than two limit-up days in a ten-day window.
• The proposed rationale is that volatility, trading-list presence, and repeated limit-ups may indicate short-term market attention.
• The examples show how to intersect qualifying stock sets using indicator or Python-style logic.
• The document offers no performance evidence and cautions that market-hotness dependence and limit-up counting may weaken reliability.
• Its descriptions differ on whether qualifying limit-ups must be consecutive.

Tags

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