Screening for High-Amplitude Reversals and Repeated Limit-Ups

Summary

This Chinese equity screen combines three conditions: daily high-to-low amplitude above 1%, a reversal or engulfing-style pattern, and at least two limit-up events within a rolling 500-day window. The document explains the intended roles of the filters: amplitude selects volatile shares, the reversal condition seeks a possible change in direction, and repeated limit-ups serve as a rough indicator of trading heat or sentiment. It includes formula and Python examples for identifying candidates.

The note warns that previous limit-ups may reflect temporary strength rather than future performance, and that technical signals can be affected by broader market conditions. It suggests adding other indicators and risk controls such as stop levels and diversification. It gives no backtest results or evidence that the combined screen is profitable. The examples also appear to operationalize the reversal and limit-up conditions in particular ways, which may not fully match the plain-language description and would need careful validation.

Key ideas

• The screen requires daily amplitude above 1%, a reversal pattern, and at least two limit-ups over 500 days.
• Amplitude is used to identify volatile stocks, while the reversal pattern seeks a directional turn.
• Repeated limit-ups are treated as a measure of market attention, but may reflect only temporary strength.
• The document recommends broader indicators and risk controls, including stop levels and diversification.
• No performance evaluation is provided, and the sample implementations may need validation.

Tags

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