Screening Chinese Stocks for Three Consecutive Limit-Up Sessions

Summary

This document presents a Chinese equity screening rule combining price action and basic company filters. It selects companies with daily amplitude above 1%, market capitalization no greater than 10 billion yuan, and positive profits, while requiring three consecutive limit-up sessions ending the previous day. The stated rationale is to find volatile stocks with speculative potential. It also gives formula and code examples for implementing the screen, then proposes adding valuation, cash flow, earnings growth, return on equity, and industry risk checks.

The document itself warns that the rule emphasizes volatility and recent market enthusiasm while overlooking broader fundamentals and long-term business prospects. Three consecutive limit-up days may also make the candidate set difficult to find and expose the strategy to sentiment shifts. The proposed enhancements are suggestions rather than validated filters; no backtest, returns, transaction costs, or out-of-sample evidence are provided. The screen therefore describes a high-risk candidate selection idea, not a demonstrated investment strategy.

Key ideas

• The screen combines amplitude above 1%, capitalization up to 10 billion yuan, positive profits, and three consecutive limit-up sessions.
• The selection rule focuses on recent price behavior and favors volatile stocks with speculative appeal.
• The document flags its neglect of business fundamentals, future prospects, and industry risks.
• Suggested refinements add valuation, cash flow, earnings growth, and return on equity filters.
• No empirical performance results are provided to validate the original screen or the proposed refinements.

Tags

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