Combining Limit-Up Activity, Recent Returns, and Relative Volume

Summary

The proposed Chinese equity screen selects stocks with positive but less than 35% returns over ten days, a recent limit-up event within a 25-day window, and high relative volume. The document describes relative volume as a proxy for capital strength and says to rank by it, although the final strategy text is truncated and does not fully restate the filters. Its rationale is to find stocks with market attention while avoiding names that have already risen too far.

The article gives qualitative reasoning and cautions that relative volume does not reveal selling flows, a limit-up event does not guarantee continued gains, and a return cap can exclude strong performers. It supplies no backtest, performance statistics, or precise operational rules for the ranking and limit-up condition; the phrase about limit-ups is ambiguous as to whether it means one event or repeated daily events. Suggested additions such as outflow measures, longer return windows, and industry catalysts remain untested ideas.

Key ideas

• The screen combines a positive return below 35% over ten days with a limit-up condition in a 25-day window.
• It uses relative volume to rank stocks as a proxy for capital activity.
• Relative volume does not account for capital outflows, and a limit-up event does not ensure future gains.
• The return ceiling may exclude stocks with stronger advances.
• The final rule is incomplete, and the document offers no backtest evidence.

Tags

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