Backtesting a Chinese Limit-Up Reversal Pattern

Summary

The post describes a Chinese equity limit-up strategy that buys a stock when it reaches the daily upper price limit after falling at least 5% from its previous day’s high. It excludes stocks that open as one-price limit-up boards and assumes a fill at the limit price. The author frames this as a simple test of a reversal setup intended to improve limit-up trading selection.

The headline claims a five-year return of 1,800%, but the page provides no backtest curve, trade details, sample definition, or risk statistics to evaluate that figure. The author explicitly cautions that the simulation assumes every order fills, which is unlikely in live trading. Reader comments also raise concerns about weak annualized performance in a separate test and a buy-only implementation that never exits positions. The document therefore offers a testable pattern idea, but not enough evidence to establish its profitability or practical execution quality.

Key ideas

• The setup buys a stock when it reaches the upper price limit after a prior-day peak-to-trough decline of at least 5%.
• The strategy excludes one-price limit-up openings and assumes execution at the limit price.
• The reported headline return is not accompanied by detailed backtest evidence or risk measures.
• Real fills may be difficult, and the page acknowledges that its fill assumption overstates practical tradability.

Tags

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