Screening Chinese Stocks by Volatility, Recent Gains, and Limit-Ups

Summary

This screening idea selects Chinese stocks with daily price amplitude above 1%, a positive but less than 35% return over ten days, and at least one limit-up event during the prior month. The document frames amplitude and the recent return range as signs of short-term strength, while a recent limit-up is treated as evidence of market attention and momentum. It provides a formula reference and a Python example for applying related price and limit-up filters.

The screen is a short-term momentum filter, not a complete investment process. The author cautions that it omits fundamentals and long-term value, relies heavily on recent price action and sentiment, and may expose a trader to risks that follow sharp advances. Suggested additions include company financial measures, market capitalization and listing-status filters, and technical indicators such as KDJ. No backtest or performance evidence is presented, and the sample code's conditions do not exactly mirror every stated screening rule.

Key ideas

• The screen combines daily amplitude above 1% with a positive ten-day return below 35%.
• It also requires at least one limit-up event within roughly the past month.
• The document interprets these filters as indicators of short-term strength and market attention.
• It warns that recent price action can obscure fundamentals and risks after a limit-up move.
• It suggests adding financial, market-capitalization, listing-status, and technical filters.

Tags

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