Screening Chinese Stocks for Recent Limit-Up Momentum

Summary

This Chinese-equity screen selects stocks using daily price data and three activity filters: amplitude above one, at least two limit-up days over the previous 500 days, and more than two limit-up days in the latest ten days. The authors present the recent limit-up condition as a way to focus on stocks attracting strong market attention, while the longer lookback adds a measure of recurring limit-up activity.

The document gives example formulas and illustrative Python-style logic, but these descriptions are not fully consistent: the stated amplitude threshold and the code differ in scale, and a section labeled consecutive limit-up days counts events over a rolling period instead. No backtest results or comparison with a benchmark are provided. The authors caution that the screen emphasizes recent price behavior and may miss fundamentals or perform poorly in abnormal markets. They suggest adding financial measures, turnover, and trading volume to refine selection.

Key ideas

• The screen combines price amplitude with historical and recent limit-up activity.
• It uses a 500-day window for the longer-term limit-up count and a ten-day window for recent activity.
• The document gives formula examples, but some stated conditions and example implementations do not align.
• The approach emphasizes short-term price action and does not assess company fundamentals.
• Turnover, trading volume, and financial data are suggested as additional filters.

Tags

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