Amplitude, Recent Limit-Up Moves, and Reversal Equity Screening

Summary

This post proposes a Chinese equity screen based on amplitude above 1%, at least one daily gain of 10% or more during the previous 25 trading days, and a reversal-style condition. It characterizes reversal as an opening price above the prior close, though the formula and Python example instead test whether the open is below the prior close. The examples also use an ATR-based amplitude test and describe ranking candidates by volume, leaving implementation details inconsistent with the written rules.

The post presents the combination as a way to capture volatility and short-term momentum but gives no backtest or evidence of profitability. It notes that the screen ignores company fundamentals and industry differences, may be overfit, and could be too restrictive. Suggested improvements include adding financial and sector data, considering broader market conditions, validating the rules, and loosening filters where appropriate.

Key ideas

• The stated screen combines amplitude above 1%, a 10% or greater daily gain within 25 sessions, and a reversal condition.
• The prose defines reversal differently from the formula and code examples, which creates ambiguity.
• The examples include ATR and volume ranking, but the post provides no backtest evidence.
• The author identifies overfitting, missing fundamental context, and overly narrow filtering as risks.
• The proposed improvements include broader data and explicit strategy validation.

Tags

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