Screening Chinese Stocks by Volatility and Recent Limit-Up Activity

Summary

This Chinese equity screening idea selects stocks with an amplitude above 1, at least two limit-up sessions over the past 500 days, and at least one limit-up in the past month. It presents the criteria as a way to combine price movement with recent market attention, then gives example formulas for measuring amplitude, counting limit-ups, and checking how recently one occurred.

The document offers no backtest, performance results, or evidence that the filters improve selection accuracy. It cautions that the rules focus on recent strength and sentiment while overlooking longer-term market conditions, and suggests adding technical and fundamental measures. The example formulas and code are described as references, so their implementation details may need adjustment for the data source and market conventions.

Key ideas

• The screen combines an amplitude threshold with historical and recent limit-up activity.
• It counts at least two limit-up events across a 500-day lookback.
• It requires a limit-up event within the past month.
• The document provides example formulas but no performance evidence.
• The rules may be unstable because they emphasize short-term price strength and sentiment.

Tags

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