A-Share Screen Using Amplitude, Relative Volume, and Recent Limit-Ups

Summary

This A-share screening idea looks for stocks with daily amplitude above 1%, relative volume between 1.5 and 6 times its five-day average, and at least two limit-up events within a 500-day window. Its final stated version also restricts market capitalization to below 100 billion yuan. The proposed rationale is to find shares with notable price movement and active, but not extreme, trading, while treating repeated limit-ups as a sign of buying interest.

The document includes formula and Python examples but reports no backtest or return evidence. It warns that frequent limit-ups may coincide with overvaluation and that combining only a few signals can produce false selections. It suggests adding technical, fundamental, industry, or size-related filters, monitoring selections over time, and managing position risk. The screening logic is a candidate selection method, not a complete entry, exit, or portfolio strategy.

Key ideas

• The screen combines amplitude above 1% with relative volume from 1.5 to 6 times its five-day average.
• It requires at least two limit-up events over the prior 500 days and adds a market-capitalization ceiling in its final version.
• The proposed interpretation is that price movement, trading activity, and past limit-ups may indicate market interest.
• The document provides no performance results and warns that repeated limit-ups can accompany overvaluation.

Tags

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