Screening for Limit-Up Momentum and Persistent Large-Order Inflows

Summary

This document proposes screening Chinese stocks for amplitude above 1, a three-consecutive-limit-up pattern as of the prior day, and large-order net volume above 0.05 for at least three days. It presents the combination as a way to find active, widely watched stocks with sustained buying pressure. The article also suggests broadening the screen with financial statements, relative valuation, profitability, industry trends, and comparisons of order-flow measures across multiple periods to reduce noise.

The rationale is qualitative; no backtest or return evidence is supplied. The author cautions that the method overweights technical activity and a single flow measure, which may be noisy and may overlook fundamentals and differences across companies or industries. The included formula and Python example do not clearly implement the stated limit-up condition, and their measures may not match the prose thresholds. The strategy therefore needs careful definition and data checks before it can serve as a reproducible screen.

Key ideas

• The screen combines price amplitude, a prior three-day limit-up sequence, and sustained positive large-order flow.
• The article presents activity and buying pressure as indicators of market attention.
• It identifies noisy order-flow data and missing fundamental analysis as key limitations.
• It suggests adding financial, valuation, and industry information and comparing flow over multiple periods.
• The supplied examples may not implement the stated conditions consistently, and no backtest is reported.

Tags

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