Screening for High-Amplitude Stocks after Three Consecutive Limit-Ups

Summary

The post proposes a stock screen combining price action and auction-period order flow: select shares with amplitude above one, three consecutive limit-up sessions as of the prior day, and positive net buying attributed to major traders during the opening auction. It describes the price conditions as signs of recent strength and the buying measure as an indication of inflows. It also includes illustrative formula and data-processing references, though the descriptions of the conditions are not fully consistent across those examples.

The author cautions that the screen can be affected by market swings, ignores company fundamentals, and relies on a flow measure that may change. Suggested refinements include alternative net-buying measures, balance-sheet and cash-flow factors, and other technical indicators. The revised proposal favors profitable growth, stable prices, high return on equity, and lower leverage. No backtest results or evidence of predictive performance are presented, and the stated thresholds and limit-up pattern may select volatile, potentially overvalued stocks.

Key ideas

• The initial screen combines amplitude above one, a prior-day three-session limit-up run, and positive auction-period net buying.
• The post characterizes the price filters as strength signals and the buying filter as evidence of current inflows.
• The author warns that market moves and changing fund flows can undermine selections, while fundamentals are omitted.
• Proposed refinements add alternative order-flow measures, financial fundamentals, and technical indicators.
• No performance testing is reported, and the sample screen may select volatile or overvalued shares.

Tags

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