Screening for High Amplitude, Two-Day Highs, and No Prior-Day Limit-Up

Summary

This post describes a Chinese equity screen requiring price amplitude above 1%, a current high equal to the highest high over two days, and a prior day that did not meet the post’s limit-up conditions. It supplies example formulas and a Python-style outline for combining the filters, while noting that implementation details may vary by platform.

The post presents amplitude and a two-day high as technical conditions, with exclusion of prior-day limit-up stocks intended to account for market heat. It offers no backtest, performance figures, or supporting analysis showing that the screen identifies profitable opportunities. Its stated limitation is that the rules emphasize technical signals and a narrow measure of sentiment while ignoring company fundamentals. Suggested additions include other technical indicators, valuation measures, and broader sentiment inputs.

Key ideas

• The screen combines amplitude above 1%, a two-day highest high, and exclusion of prior-day limit-up stocks.
• The post gives example formula logic and a platform-dependent code outline.
• It reports no evidence or measured returns for the selection rules.
• The author notes that the screen omits fundamentals and uses a limited sentiment measure.

Tags

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