Limit-Up Momentum Screening with Recent Three-Day Streaks

Summary

This proposed stock screen selects shares with a daily high-low range above 1, three consecutive limit-up sessions as of the previous day, and at least two limit-up events during the prior 500 days. The post interprets the range as a sign of activity and the limit-up history as evidence of trading interest. It warns that relying heavily on limit-up counts can promote chasing, concentrate holdings in a sector, and lead to buying overvalued stocks. Suggested refinements include considering industry and valuation, diversifying, and adding other technical measures.

The article supplies a Python example using daily bars and limit-up-like percentage changes, but reports no backtest, returns, or transaction-cost analysis. The example assumes a fixed percentage threshold and a single futures contract symbol despite describing a stock screen; its percentage-change and rolling-count calculations also require validation against the intended market rules. The method is therefore a screening concept, not evidence of a profitable or robust trading strategy.

Key ideas

• The screen requires a daily range above 1, three consecutive limit-up sessions through yesterday, and at least two limit-ups within 500 days.
• The post treats recent limit-up streaks as a momentum and market-interest signal.
• It identifies chasing, sector concentration, and overvaluation as risks.
• It recommends supplementing the screen with industry, valuation, diversification, and other technical measures.
• The example code is not validated and does not establish strategy performance.

Tags

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