Screening for High-Amplitude Stocks with Recent Limit-Up Days

Summary

This note describes a Chinese equity screen combining daily price range, a 2021 date filter, and repeated limit-up behavior over a recent ten-day window. The stated rationale is to find volatile stocks with strong short-term price action, then place qualifying names in a candidate investment pool. It also suggests adding industry and fundamental filters and setting stop-loss levels to manage risk.

The document provides example indicator and Python logic, but does not report a backtest, performance figures, or evidence that the screen predicts future returns. Its examples also appear inconsistent with the written criteria: the amplitude denominator differs between examples, and the Python logic does not clearly count limit-up days. Limit-up stocks may be difficult to buy and sell, while short-term momentum can reverse. The 2021 date restriction makes the described screen historical, and the supplied logic would need careful validation before use.

Key ideas

• The screen combines price amplitude, a historical year filter, and more than two limit-up days in a ten-day period.
• The proposed rationale is that high volatility and repeated limit-ups may indicate strong short-term momentum.
• The author recommends adding industry and fundamental criteria and using stop-losses.
• The document reports no performance test, and its example implementations do not clearly match the stated rules.

Tags

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