Chinese Stock Screen Using Volatility, the 10-Day Average, and Limit-Ups
Summary
This stock-screening idea combines three conditions: daily amplitude above 1, an opening price near the 10-day moving average, and more than two limit-up days during a rolling 10-day period. The article interprets the amplitude condition as a way to find volatile stocks, the moving-average condition as a sign of relative price stability, and repeated limit-ups as evidence of strong market interest and upward momentum. It also provides sample formula and Python implementations of the filters.
The article cautions that historical data can lag, trading suspensions or news can distort limit-up counts, and chasing popular stocks may lead to overpaying. It suggests adding factors such as trading volume and market capitalization, and adjusting the thresholds for market conditions. No backtest, return data, or precise definition of “near” is provided beyond the example implementation’s band around the moving average. The strategy is therefore a screening concept with stated risks, not evidence of an effective trading system.
Key ideas
- The screen requires amplitude above 1 and an opening price near the 10-day moving average.
- It also requires more than two limit-up sessions in a rolling 10-day window.
- The article presents the combination as a way to find volatile, popular stocks with upward momentum.
- Trading halts, news, stale historical data, and chasing crowded themes can undermine the screen.
- Volume and market capitalization are suggested as additional screening dimensions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.