Screening for High Volatility, a Ten-Day Moving Average, and Limit-Up Streaks

Summary

This community post describes a Chinese stock screen based on three conditions: a prior-day trading range above a threshold, an opening price near the ten-day moving average, and a recent run of consecutive limit-up sessions. The moving-average condition is implemented as an opening price within five percent of the average. Formula and Python examples are provided to calculate the filters and combine them into a candidate list.

The post gives no backtest results or evidence that the screen has predictive value. It notes that consecutive limit-ups may reflect short-term speculation, the rule set is narrow, and a large price range can select unusually volatile stocks. The examples also contain timing and definition ambiguities: the prose says the previous day had three consecutive limit-ups, while the formulas check only two prior close-to-high relationships, and the range calculation differs between descriptions. These details should be resolved before reproducing or evaluating the screen.

Key ideas

• The screen combines a price-range threshold, an opening price near the ten-day average, and recent limit-up behavior.
• The post provides formula and Python examples but no performance or backtest evidence.
• Limit-up streaks and high price ranges can indicate speculative or unusually volatile conditions.
• The prose and code differ in how they define the consecutive limit-up condition and timing.

Tags

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