Screening for Three-Day Limit-Up Runs and an Upward Moving-Average Trend

Summary

This Chinese stock-screening note combines high daily price range, a three-session limit-up run as of the previous day, and a 20-day moving average above the 120-day average. The conditions are intended to find active stocks attracting strong buying interest while filtering for an upward trend. The stated final version also adds a recent ten-day return threshold, and the formula includes a low-price condition. The document supplies formula and Python examples, though the code's calculations and instrument references do not consistently match the written stock-screening rules.

The author identifies delayed reactions from moving averages and overvaluation after consecutive limit-up days as risks. Suggested refinements include adding momentum measures and indicators such as RSI or MACD. The note offers no backtest results, benchmark comparison, or evidence that the filters predict future returns. Its rules should therefore be read as a proposed screen rather than a validated trading strategy, with implementation details requiring careful verification before use.

Key ideas

• The screen combines a large daily range, a recent three-session limit-up sequence, and a short moving average above a longer one.
• The final written logic adds a ten-day return filter, while the reference formula also includes a low-price constraint.
• The conditions are intended to capture market activity, buying interest, and an upward trend.
• The note warns that moving averages may react slowly and that limit-up runs can coincide with excessive valuations.
• The supplied code does not consistently match the described 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.