Screening Chinese Stocks by Price Amplitude and Three Consecutive Limit-Ups

Summary

This post describes a Chinese A-share screening rule that selects stocks with daily high-low amplitude above one percent, excludes Beijing-listed shares, and looks for stocks that had three consecutive limit-up sessions ending yesterday. It presents example indicator-formula and Python-style implementations and frames the pattern as a way to find volatile shares attracting strong market attention. The discussion also suggests adding valuation and fundamental checks, sector context, and exit controls.

The document gives a rule and illustrative code, but it reports no backtest, trade sample, or performance evidence. Its own caveats include the possibility that consecutive limit-ups reflect speculation or temporary sentiment, that amplitude alone may not capture volatility well, and that the screen can overlook company fundamentals. The accompanying code and explanation should be treated cautiously: the stated conditions and sample calculations may not align perfectly, and limit-up thresholds can depend on listing rules and security type. The screen is a candidate-generation idea, not evidence of predictive returns.

Key ideas

• The screen combines amplitude above one percent with exclusion of Beijing shares and a prior three-session limit-up streak.
• The post interprets the streak as a possible sign of strong attention or market momentum.
• It proposes adding fundamental measures, sector context, and risk controls.
• No performance testing is reported, and the author warns that sentiment-driven moves can reverse.

Tags

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