A-Share Screen for Volatility, Recent Limit-Up Streaks, and Trading-Board Activity

Summary

This note describes an A-share stock screen combining prior-day price amplitude above 1%, appearance on the prior day’s trading list, and a three-session limit-up streak. It presents the conditions as a way to find volatile stocks with strong short-term momentum and illustrates how to combine the filters in indicator-style and Python examples.

The article offers a rationale for each filter but provides no backtest, performance figures, or evidence that the combination predicts future gains. It warns that chasing consecutive limit-ups can neglect fundamentals, trading-list data may not represent overall stock performance, and unstable markets can bring sharp losses. It suggests adding technical and financial measures, capital-flow and sector information, and industry constraints. The code examples operationalize the screen, but the note does not establish how robustly it handles market-specific limit rules or data timing.

Key ideas

• The screen combines prior-day amplitude above 1%, prior-day trading-list appearance, and a three-session limit-up streak.
• The proposed rationale is to capture volatility, market attention, and short-term momentum.
• The document gives implementation examples but reports no backtest or performance evidence.
• It cautions that limit-up chasing can overlook fundamentals and carry substantial volatility risk.
• Additional financial, technical, capital-flow, and industry filters are suggested.

Tags

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