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

Summary

This document describes a Chinese stock selection rule combining daily price range, recent limit-up activity, and a long-term moving average. Stocks enter the candidate pool when their amplitude exceeds 1%, at least one limit-up occurred in the prior 25 days, and the previous close is above the 250-day moving average. The post also gives indicator and Python examples for expressing parts of the screen.

The rationale is that a larger range may indicate volatility, a recent limit-up signals notable price behavior, and trading above the long moving average suggests an upward trend. These are presented as hypotheses rather than demonstrated results: no backtest, performance data, or validation is supplied. The document itself notes that price-based signals do not establish company quality and that weak business results or poor market conditions can undermine the selection. It suggests adding indicators and fundamental analysis, while limiting single-stock exposure and diversifying the portfolio. The examples also differ in how they encode the recent limit-up condition, so their implementation should be checked before use.

Key ideas

• The screen combines daily amplitude above 1%, a limit-up in the previous 25 days, and price above the 250-day moving average.
• The stated rationale links amplitude to volatility, limit-up activity to distinctive price behavior, and the moving average to trend.
• The document provides indicator and Python examples, but does not report a backtest or measured performance.
• It recommends considering fundamentals, limiting exposure to individual stocks, and diversifying the portfolio.

Tags

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