Combining Price Amplitude, Consecutive Limit-Ups, and Dividends in Stock Screening

Summary

This Chinese stock screening proposal combines three filters: daily price amplitude above one, a stock having had three consecutive limit-up sessions the previous day, and a 2019 dividend payout ratio above 25%. The discussion frames amplitude and the recent price pattern as measures of market activity and momentum, while the historical payout is intended to add a longer-term company quality dimension. It suggests supplementing the screen with fundamentals such as ROE and valuation measures, and adding risk controls for position and portfolio exposure.

The article offers no backtest, trading results, or evidence that these conditions predict future returns. Its example code and description also leave important implementation details unclear, including how the limit-up sequence is identified and how the stated amplitude threshold is applied. A single year's dividend ratio may not represent future distributions, and a recent sharp price run can reverse. The proposed filters should therefore be treated as a screening hypothesis requiring precise definitions and validation.

Key ideas

• The proposed screen combines price amplitude, a recent three-session limit-up sequence, and a historical dividend payout threshold.
• The article presents recent price action as a measure of market activity and the payout ratio as a longer-term consideration.
• It recommends adding fundamental filters and risk controls to the initial selection rules.
• The document provides no performance evidence, and key screening definitions need clarification before implementation.
• A past dividend payout does not establish that future distributions will be similar.

Tags

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