Screening Chinese Stocks for Large Swings, Prior Limit-Ups, and Rising Averages

Summary

This note describes a Chinese equity screen combining three conditions: daily amplitude above 1%, at least two limit-up-like moves during the prior 500 days, and an average price above its five-day moving average. It proposes ranking qualifying stocks using amplitude, limit-up frequency, and price-related measures. The rationale is that large swings and past sharp advances may indicate active trading, while the moving-average condition is intended to identify short-term strength.

The document supplies indicator formulas and illustrative Python code, but it gives no backtest results or evidence that the screen predicts future returns. Its code uses historical prices and does not fully establish that its calculations match the stated screening rules. The author notes that the method omits company fundamentals and macroeconomic conditions, and suggests adding volume, sector, earnings, and balance-sheet analysis. The screen is therefore a technical selection rule whose behavior may depend on market conditions; the note does not establish its robustness or specify a complete entry, exit, or risk-management plan.

Key ideas

• The screen requires amplitude above 1% and at least two limit-up-like moves over 500 days.
• It also requires the stock’s average price to be above its five-day moving average.
• The note proposes ranking candidates using amplitude, limit-up frequency, and price-related measures.
• The approach relies on technical data and does not establish predictive performance.
• Fundamental, sector, volume, and macroeconomic factors are suggested as additional checks.

Tags

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