Screening Chinese Stocks for Large Amplitude and Three Consecutive Limit-Ups

Summary

This proposed A-share screen looks for stocks with price amplitude above 1%, prior-day turnover value above 60 million, and three consecutive limit-up sessions as of the previous day. The rationale is that large price swings and substantial trading activity may identify volatile, actively traded stocks where recent market interest could continue. The document also provides example formula and Python snippets for combining the conditions, though those examples do not establish that the signals are calculated consistently with the stated timing.

The screen is explicitly short-term and momentum-oriented. Its author warns that it omits company fundamentals and broader market trends, and that a three-session limit-up run may reflect a temporary theme. The suggested refinement adds fundamental and trend analysis, but no precise additional rules, backtest, performance results, or implementation validation are supplied. The screen therefore describes a candidate-selection idea rather than evidence of a durable or profitable strategy.

Key ideas

• The screen combines amplitude above 1%, prior-day turnover value above 60 million, and a three-session limit-up pattern ending the previous day.
• The rationale is that volatility and active trading may accompany continuing market interest.
• The document warns that recent limit-up activity can be temporary and that the screen lacks fundamental and market-trend analysis.
• It suggests adding company fundamentals and trend conditions but gives no tested specification or performance evidence.

Tags

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