Screening Chinese Stocks by Volatility, Limit-Ups, and Moving Averages

Summary

This note describes a Chinese equity screening rule that admits stocks with daily amplitude above 1%, at least one limit-up session during the prior 25 days, and a 20-day moving average above the 120-day average. It presents the combination as a way to find volatile stocks with recent strength and an upward trend. Indicator formula and Python examples are included, though the Python example checks for a limit-up on the current row rather than clearly implementing the stated 25-day lookback.

The post cautions that historical screens may not predict future performance and that the three conditions omit other relevant information. It suggests adding price-volume measures, capital flows, and further trend indicators, then adjusting the rules over time. No backtest, performance evidence, or detailed entry, exit, or position-sizing method is supplied, so the selection logic is a hypothesis for further evaluation rather than a demonstrated profitable strategy.

Key ideas

• The screen requires amplitude above 1% and at least one limit-up day in the previous 25 sessions.
• A 20-day moving average above the 120-day average serves as the trend filter.
• The post frames volatility and recent limit-up behavior as signs of opportunity and market interest.
• Its code example does not clearly match the stated 25-session limit-up condition.
• The document gives no backtest results and warns that historical conditions may not predict future returns.

Tags

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