Screening for High Volatility, Recent Limit-Up Moves, and Three Bearish Days

Summary

This Chinese equities screening note selects stocks with a daily high-to-low range above 1%, at least one limit-up event in a recent 25-day period, and three consecutive bearish sessions. The proposed rationale is that a prior sharp advance may signal strength, while several down days could create a rebound opportunity. The article supplies formula and Python examples, but the examples do not consistently encode the stated 25-day lookback: one reference uses a different window, and the bearish-day implementation should be checked against the intended consecutive-session rule.

The note provides no return series, backtest, or other evidence that the screen predicts rebounds. It flags policy and market-sentiment changes as risks and recommends adding financial information or considering broader economic conditions. Limit-up definitions and price limits can also depend on market rules, so the sample conditions may not transfer unchanged across stocks or periods. The screen specifies candidate selection only; it does not define trade execution, exits, or position sizing.

Key ideas

• The proposed screen requires a daily range above 1%, a recent limit-up event, and three bearish sessions.
• The author interprets prior limit-up strength and subsequent declines as a possible rebound setup.
• The examples use lookback details that are not fully consistent with the stated 25-day condition.
• The article offers no performance evidence and highlights policy and sentiment risks.

Tags

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