A-Mplitude and Recent Limit-Up Filters for Chinese Stock Selection

Summary

This stock-selection proposal combines four screening conditions: daily amplitude above one, exclusion of special-treatment stocks, selection before 10 a.m., and a recent limit-up event within roughly one month. It also describes a so-called five-part limit-up method, represented in the accompanying example by requiring closes to remain at or above a five-period simple moving average for five observations. The example calculates amplitude from the high, low, and previous close, then filters candidates using these measures.

The article says the approach relies on technical conditions and omits company fundamentals such as earnings and financial health. It warns that recent limit-ups may reflect short-lived speculation and that selected stocks may perform poorly. No backtest results or evidence of returns are given, and the example’s limit-up date handling appears to rely on a prior timestamp rather than explicitly verifying a limit-up event. The author suggests adding fundamental filters and stop-loss controls.

Key ideas

• The proposed screen combines price amplitude, non-ST status, a pre-10 a.m. selection time, and a recent limit-up condition.
• The example operationalizes the five-part method using five consecutive closes at or above a five-period moving average.
• The approach focuses on technical inputs and does not assess corporate financial fundamentals.
• Recent limit-up behavior may reflect short-term speculation, and the article provides no performance validation.
• The author recommends adding fundamental measures and risk controls such as stop losses.

Tags

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