Screening for Recent Limit-Ups While Excluding STAR Market Stocks

Summary

This A-share screen selects stocks with daily amplitude above 1%, at least one recent limit-up event, and exclusion of the STAR Market. The accompanying formulas and code approximate limit-up detection using price relationships and a recent rolling window. The written rule describes checking the prior 25 days, while the examples use an 18-day window, so implementations should resolve that discrepancy before use.

The rationale is that elevated amplitude indicates movement and a recent limit-up may signal strong performance; excluding the STAR Market is presented as a way to reduce risk. The author acknowledges that technical-only selection ignores fundamentals and that excluded STAR Market stocks can also produce strong returns. Suggested refinements include considering fundamentals, industry trends, sector rotation, market capitalization, and valuation. No backtest or return evidence is offered, and a past limit-up does not establish future outperformance.

Key ideas

• The screen combines amplitude above 1%, a recent limit-up, and exclusion of STAR Market listings.
• The prose specifies a 25-day lookback, but the examples use 18 days.
• The author treats a prior limit-up as a possible strength signal, not a guarantee of future returns.
• The note warns that technical-only screening omits fundamentals and that market exclusions can miss winners.
• No backtest or performance evidence is provided.

Tags

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