A Limit-Up Momentum Screen with Capital Strength and Trend Filters

Summary

This post outlines a Chinese equity screen that ranks stocks by capital strength and requires more than two limit-up sessions in the recent ten-day window, alongside at least two limit-up sessions over a 500-day lookback. Its proposed final version adds a market-capitalization floor, a price-to-earnings ceiling, price above the Bollinger middle band, and a rising moving-average configuration. A partial Python example references functions for measuring capital strength and counting limit-up occurrences.

The rationale is that repeated limit-up moves and strong capital flows may indicate attention and near-term strength. The post cautions that short-term performance filters can miss longer trends and expose selections to market swings. It proposes additional valuation and technical filters, but supplies no complete implementation, backtest, or measured returns. The material is best read as a screening template whose criteria and data definitions would need independent verification before use.

Key ideas

• The initial screen combines capital strength ranking with limit-up counts over short and long lookback periods.
• The proposed expanded screen adds market capitalization, valuation, Bollinger band, and moving-average conditions.
• Repeated limit-up moves are presented as a sign of recent market strength and attention.
• The post warns that short-term signals can miss longer trends and carry greater exposure to market volatility.
• The code example is incomplete, and no empirical performance results are reported.

Tags

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