Screening Chinese Stocks by Volatility, Limit-Ups, and Weekly Trend

Summary

This document describes a Chinese equity screen combining daily price range, past limit-up activity, and a weekly trend signal. It selects stocks with amplitude above 1, at least two limit-up days in the preceding 500 trading days, and a weekly red-bar condition. The suggested interpretation is that volatile stocks with prior sharp advances and a constructive weekly signal may have rebound potential.

The document gives formula and Python examples for calculating amplitude and counting limit-up events, and outlines a more complex indicator for the weekly signal based on moving averages and exponential averages. It does not provide a backtest, performance results, or a precise validation of the rebound premise. It warns that the approach relies heavily on technical data, which may contain calculation errors and requires timely interpretation. Fundamental and additional technical factors are suggested as possible improvements.

Key ideas

• The screen combines price amplitude above 1 with at least two limit-up events over 500 days.
• A weekly red-bar indicator is used as an additional trend filter.
• The article frames the combination as a way to search for rebound candidates, without presenting performance evidence.
• The strategy relies on technical inputs and may be sensitive to data quality and changing market conditions.

Tags

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