Counting Limit-Up Days Across a Lookback Period

Summary

The document describes a feature for counting how many limit-up sessions occurred in a recent period. Its example creates a five-session count by checking each of five lagged limit-status fields and adding one for every session marked with the limit-up status. This illustrates a direct indicator-based counting method for an equity signal.

The author notes that manually extending this expression becomes inconvenient for longer lookback periods, but the document does not provide a generalized formula or an alternative implementation. It also gives no backtest, performance evidence, or discussion of how the count might be used in a trading rule. The example therefore serves as a narrow feature-engineering illustration rather than a complete strategy or solution for arbitrary lookback lengths.

Key ideas

• A limit-up count can be formed by converting each session’s status into a one-or-zero indicator and summing the indicators.
• The example applies this method to five lagged sessions.
• Manually expanding the expression becomes cumbersome for longer lookback periods.
• The document does not explain a scalable implementation or assess predictive value.

Tags

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