Chinese Stock Screen Using Amplitude, Limit-Up Streaks, and Relative Volume

Summary

This stock screen combines daily price amplitude, a recent three-session limit-up streak, and relative volume constrained to a stated range. The article interprets the amplitude condition as a way to find active, volatile shares, the streak as evidence of strong buying interest, and the volume ratio as a filter for trading attention. It proposes adding turnover and fundamental measures such as valuation ratios to broaden the selection criteria.

The post includes formula and Python examples, but its explanations and snippets do not align perfectly: the code’s prior-close comparisons do not clearly encode the stated three-session limit-up condition, and some examples use volume where the prose describes amount or value traded. It reports no backtest or return evidence. The screen is exposed to sentiment shifts, valuation and fundamental risks, and short-term reversals; its conditions identify candidates, not a validated trading edge.

Key ideas

• The proposed screen combines price amplitude, a three-session limit-up pattern, and a bounded relative-volume measure.
• The article suggests adding turnover and fundamental filters to supplement technical conditions.
• The provided formulas and code do not consistently match the prose description of the screen.
• No performance evidence is supplied, and the author recommends historical testing and risk controls.

Tags

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