A Two-Day High and Limit-Up Momentum Stock Selection Screen

Summary

The proposed Chinese stock screen first looks for shares with amplitude above 1%, a high equal to the maximum of the current and previous day, and non-ST status. It then applies a five-condition limit-up method: daily gain above 9.5%, turnover above 5%, amplitude above 2%, volume ratio above 1.2, and price ratio above 1. The post says to select stocks before 10 a.m. and frames the method as a way to find short-term candidates with limit-up potential. It includes indicator formulas and illustrative Python-style logic.

The post provides no backtest, historical hit rate, or evidence that the rules predict limit-up moves. It acknowledges that the selection is simple and omits company fundamentals and broader market conditions. Its optimization suggestions include adding other technical and fundamental measures, market context, and event analysis. The examples should be interpreted cautiously: the turnover condition is not clearly implemented by the volume comparison shown, and the written timing instruction is not explained in enough detail to assess its execution assumptions. The screen is a hypothesis requiring independent testing.

Key ideas

• The initial screen uses amplitude, a two-day high condition, and exclusion of ST shares.
• A second stage applies gain, turnover, amplitude, volume-ratio, and price-ratio thresholds.
• The method is presented as a short-term limit-up candidate screen, with selection before 10 a.m.
• The document supplies no test results to show whether the conditions predict limit-up outcomes.
• Fundamental and broad market factors are identified as possible omissions.

Tags

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