A Three-Day Equity Momentum Screen with Volatility and Limit Filters

Summary

This Chinese-language post describes a short-term stock selection screen using three conditions: a daily amplitude greater than one, three consecutive prior sessions of gains without a sequence of limit-up days, and a prior session that did not close at the limit-up price. It presents the screen as a way to find active shares while avoiding some unusually sharp moves, and suggests adding fundamental, industry, and technical analysis before making decisions.

The post provides illustrative Python-style selection logic, but its example fetches futures contract data and uses price comparisons that do not clearly implement every stated stock-screen condition. It offers no backtest, return data, or evidence that the filters improve results. The author notes that the approach focuses on recent price behavior, omits company fundamentals, and may miss shares that subsequently rise to the daily limit. Treat the code as a rough reference rather than a validated implementation.

Key ideas

• The proposed screen combines elevated daily amplitude with a recent three-session rising pattern.
• It excludes a consecutive limit-up sequence and stocks that were limit-up in the prior session.
• The post recommends supplementing price filters with fundamental, industry, and technical analysis.
• The provided example code does not clearly match the described equity conditions and uses futures data.
• No performance test is reported, and the short-term filters may overlook later limit-up stocks.

Tags

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