A-Share Screen for Limit-Up History and Moving-Average Trend

Summary

This note describes an A-share stock screen combining daily amplitude above 1%, a 20-day moving average above the 120-day average, and at least two limit-up sessions during the prior 500 days. The author interprets the moving-average relationship as an uptrend signal, amplitude as evidence of trading activity, and past limit-ups as a sign of market attention. The proposed refinements add fundamental and valuation checks, account for market and industry conditions when weighing limit-up history, and use stop losses or diversified positions to manage risk.

The document provides illustrative screening logic and sample formulas, but no backtest, performance results, or evidence that the criteria predict returns. Its Python example has apparent mismatches with the stated method, including a short recent price-data window and a rolling count over two observations rather than the specified 500-day history. The thresholds and limit-up detection may also depend on market conventions and data quality, so the screen would need careful implementation and validation.

Key ideas

• The screen requires amplitude above 1% and a 20-day moving average above the 120-day average.
• It also selects stocks with at least two limit-up sessions in the preceding 500 days.
• The note recommends adding fundamental, valuation, market, and industry context.
• It identifies concentration in past price behavior and volatility as risks and suggests stop losses and diversification.
• The examples are not supported by reported backtest results, and the sample implementation may not match the stated lookback logic.

Tags

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