Screening for Volatile Stocks with Prior Limit-Ups, Excluding Yesterday’s Limit-Up

Summary

This Chinese equity screen looks for stocks with daily price amplitude above a stated threshold, at least two limit-up moves within a 500-day lookback, and no limit-up on the previous day. The proposed rationale is to find shares with signs of strong past price movement while avoiding immediate entry after an especially sharp session. Formula references describe amplitude and rolling limit-up counts, and the page includes a Python sketch for applying related filters.

The document offers no backtest or evidence that these conditions predict future returns. It warns that the rules emphasize short-term price action and market sentiment, while giving little attention to longer-term market direction, company fundamentals, or macroeconomic conditions. The sample code is illustrative and contains implementation details that may not faithfully match the stated conditions, so the definitions and timing would need careful review before testing.

Key ideas

• The screen combines a daily amplitude threshold with a minimum count of limit-up moves over a 500-day lookback.
• It excludes stocks that reached limit-up on the previous day.
• The selection rationale focuses on recent price momentum and avoiding entry immediately after an extreme move.
• The approach omits fundamental and macroeconomic analysis and has no reported performance evidence.
• The example code may not implement every stated rule consistently.

Tags

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