A Stock Screen Combining Volatility, Limit-Down Opens, and Recent Limit-Ups

Summary

This article proposes a short-term Chinese equity screen combining three conditions: amplitude above 1, a prior-day 9:15 indicative match price at the limit-down price, and more than two limit-up days within the past ten days. It says the final candidates can be ranked by stock popularity and limited to the first n names. The post also gives indicator-expression references and a Python-style example intended to illustrate selection and sorting.

The rationale is to combine volatility, market sentiment, and recent price strength, but the post does not provide a backtest, a defined amplitude unit, or evidence that the pattern predicts returns. It explicitly flags short-term volatility, sentiment shifts, execution timing, and concentration in a single stock as risks, and suggests adding fundamental and capital-flow inputs and diversifying across industries. The supplied code is illustrative and depends on platform-specific functions; it should not be treated as a complete, validated implementation or as evidence of profitability.

Key ideas

• The screen requires amplitude above 1, a previous-session 9:15 indicative match at limit down, and more than two limit-up sessions in ten days.
• Candidates may be ranked by popularity and truncated to a chosen number of stocks.
• The proposed rationale combines volatility, sentiment, and recent price action, but the document offers no performance validation.
• The post identifies short-term volatility, sentiment, trading, and single-stock concentration risks.
• It suggests adding fundamental and capital-flow measures and diversifying by industry.

Tags

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