Three-Limit-Up Volatility Screen

Article SuperMind

Summary

This post outlines a stock-selection rule using amplitude, three consecutive limit-up sessions on the previous day, and a historical limit-up condition tied to 2021. Its revised formulation specifies amplitude above 1.5% and requires a past limit-up price to be higher than that day’s close. The accompanying example checks for repeated equal closes and filters limit-up observations by year, then ranks matches by trading amount.

The post characterizes the screen as targeting volatile, high-interest stocks with short-term upside potential, but gives no backtest results or performance measurements. It cautions that limit-up identification can be subjective and time-sensitive, that short-term signals omit longer-term trends and fundamentals, and that historical market attention may not persist. It suggests tightening the limit-up definition and adding trend indicators. The code example uses futures symbols and an assumed 10% limit-up rule, while noting that such thresholds must be adjusted for each exchange and instrument; this makes the example unsuitable as a universal stock implementation.

Key ideas

The screen combines high amplitude, a three-session limit-up streak, and a historical limit-up filter for 2021.
The revised rule raises the amplitude threshold and compares a historical limit-up price with that day’s close.
The example ranks selected observations by trading amount but provides no performance evidence.
Limit-up thresholds vary by exchange and instrument, and short-term signals may fail as market conditions change.
The post recommends adding longer-term trend measures and refining the limit-up criteria.

A Volatility and Three-Limit-Up Screen with a Historical Filter

Summary

Key ideas

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