Screening for Volatile Three-Limit-Up Stocks on the Previous Day

Summary

This article proposes an A-share screen for stocks with daily amplitude above 1.5%, three consecutive limit-up sessions ending the previous day, and a prior-day appearance on the market's top-trader list. It further narrows candidates to a circulating market value no greater than 3 billion yuan. The logic treats elevated amplitude as a sign of activity and repeated limit-ups as evidence of strong buying interest; the top-trader listing is presented as a possible marker of news or unusual attention.

The article flags ambiguity in how amplitude is measured and lag in top-trader data as sources of missed or unsuitable selections. It recommends defining amplitude carefully and checking multiple data sources. Formula and Python examples are included, but the document provides no backtest, measured returns, or evidence that these filters predict future performance. The method is a narrow event and momentum screen, and the supplied examples may not fully implement the stated conditions consistently.

Key ideas

• The proposed screen combines amplitude above 1.5%, three consecutive limit-ups through the prior day, and a prior-day top-trader listing.
• It limits candidates to a circulating market value of at most 3 billion yuan.
• The article interprets limit-up streaks as buying interest and top-trader inclusion as a possible sign of notable news or activity.
• It identifies unclear amplitude definitions and delayed top-trader data as sources of selection error.
• The document offers implementation examples but no performance or backtest evidence.

Tags

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