Screen for Volatility, Repeated Limit-Ups, and a Three-Day Winning Streak

Summary

This Chinese equity screen combines a daily amplitude threshold, at least two limit-up events over a 500-day lookback, and a three-session limit-up streak ending the prior day. It aims to find shares with substantial price movement and repeated strong upward moves, treating these features as signs of short-term momentum and market strength.

The article provides indicative formulas and example code, but the code and formula descriptions may not faithfully capture the stated conditions; details such as price limits, rolling windows, and how a streak is counted require careful validation. It reports no backtest or performance evidence. The author cautions that a purely technical screen omits fundamentals and macroeconomic conditions, and suggests combining technical and fundamental measures while considering longer-term business quality.

Key ideas

• The screen combines price amplitude, historical limit-up frequency, and a recent three-session limit-up streak.
• The 500-day count is intended to identify stocks with repeated sharp upward moves.
• The formulas and sample code are illustrative and should be checked against market rules and the intended streak definition.
• The article provides no backtest results and warns that technical filters omit fundamental and macroeconomic factors.

Tags

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