Screening for High-Volatility Stocks After Three Limit-Up Sessions

Summary

This note describes a Chinese equity screen built around price range, recent limit-up behavior, and trading activity. Its initial criteria are an amplitude above 1, three consecutive limit-up sessions on the prior day, and prior-day turnover above 8%. The rationale is that these conditions may identify active stocks attracting strong buying interest.

The note proposes refining the screen with prior-day turnover below 20% and a bullish crossover of the 10-day and 30-day simple moving averages. It provides indicator and Python examples, but the examples do not fully match the stated criteria: the formulas use different turnover and price conditions and do not clearly implement the three-session limit-up rule. No backtest or performance evidence is supplied. The author flags the strategy’s reliance on technical signals, susceptibility to event-driven turnover spikes, and the need to consider fundamentals and avoid overheating; the proposed filters remain unvalidated.

Key ideas

• The initial screen combines amplitude above 1 with three consecutive prior-day limit-up sessions and turnover above 8%.\nThe proposed refinement caps turnover below 20% and requires the 10-day average to cross above the 30-day average.\nThe note frames amplitude, limit-up streaks, and turnover as signs of volatility and buying interest.\nIt warns that technical-only screening can miss fundamental risks and that event-driven activity can distort turnover.\nThe provided examples do not consistently encode the described screening rules, and no performance evidence is reported.

Tags

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