A-Share Screen for High Amplitude and Recent Limit-Up Moves

Summary

This note describes a Chinese stock screen combining daily price amplitude, the calendar year 2021, and at least one limit-up move in the preceding 25 trading days. It frames high amplitude as a sign of volatility and a recent limit-up as a possible indication of continued strength. The document includes example formulas and Python-style screening logic, but gives no backtest results or performance evidence for the rule.

The author cautions that a prior limit-up does not ensure future gains and that volatile stocks require risk controls. The screen is presented as an initial filter, with fundamentals or technical indicators suggested as possible additions, alongside stop losses and diversification. Its descriptions and implementations do not fully align: the formula checks a prior high relative to a prior close, while the Python example uses rolling highs and a shifted close. The signal definition therefore needs validation before research or use.

Key ideas

• The screen combines price amplitude above one percent with a limit-up occurrence in the previous 25 trading days.
• The documented selection is restricted to stocks in calendar year 2021.
• The note treats volatility and prior limit-up activity as possible signals, not guarantees of future gains.
• The examples differ in how they calculate a limit-up event, so the signal definition needs clarification.
• The author recommends adding broader filters and applying risk controls such as stop losses and diversification.

Tags

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