Chinese Stock Screen Using Volatility and Recent Limit-Ups

Summary

This Chinese equity screening idea combines a daily amplitude threshold above 1, excluding stocks marked ST, with a five-part limit-up method and at least one limit-up during the prior 25 days. It also says to select stocks before 10 a.m. The accompanying Python example operationalizes the conditions with a five-day moving average: it keeps stocks whose closes stay at or above that average across the five-day window, then checks for a positive daily price change during the lookback period.

The article argues that volatility and recent limit-ups may help identify active, market-focused stocks. It cautions that such a screen can overemphasize short-term price action and neglect company fundamentals, and suggests adding profitability or financial-strength measures and considering longer-term trends. No backtest results or performance evidence are provided. The code's definitions are approximate: its amplitude calculation is an absolute price range, and its positive-return lookback does not explicitly test limit-up percentage thresholds, so the implementation may not match the stated strategy precisely.

Key ideas

• The screen combines amplitude above 1, non-ST status, a five-part limit-up setup, and a recent limit-up within 25 days.
• It specifies screening before 10 a.m. and describes volatility and recent market attention as selection rationales.
• The sample code uses a five-day moving-average condition to represent the five-part setup.
• The article warns that short-term price signals can overlook fundamentals and long-term direction.
• It provides no measured performance evidence, and the sample code does not directly verify limit-up thresholds.

Tags

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