A Short-Term Chinese Stock Screen Based on Limit-Up Streaks

Summary

This note proposes screening Chinese stocks using several short-term conditions: daily amplitude above 1, a three-session limit-up sequence on the previous day, exclusion of ST-designated stocks, and selection before 10 a.m. It also invokes a five-session limit-up approach and recommends focusing on market leaders and hot sectors. The suggested refinement adds financial quality and valuation checks, such as profitability, growth, and lower valuation.

The document describes the rationale as a mix of activity, attention, technical behavior, and early-session timing. It cautions that the rules can overlook fundamentals, lag market changes, and select overheated stocks vulnerable to overbought conditions. No backtest or performance evidence is presented. The sample code appears inconsistent with the described stock rules, including its futures data reference and its calculation of consecutive limit-ups, so it should not be treated as a verified implementation. The screen is best read as an unvalidated idea requiring careful data checks and testing.

Key ideas

• The proposed screen combines amplitude, a prior limit-up streak, ST exclusion, and early-session timing.
• It recommends considering market leaders and stocks in active sectors.
• The suggested refinements include financial quality and valuation measures.
• The note warns that short-term technical filters may select overheated stocks and omit fundamentals.
• No performance evidence is supplied, and the sample code does not reliably implement the stated rules.

Tags

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