Screening for Volatility and Recent Limit-Up Moves While Excluding Yesterday's Limit-Up

Summary

This Chinese-equity screening rule selects stocks with a daily amplitude above 1%, at least one limit-up move during the previous 25 days, and no limit-up move yesterday. The source frames higher amplitude as a sign of greater movement, treats a recent limit-up as evidence of market interest, and excludes the most recent limit-up to avoid chasing a move driven by speculative enthusiasm. It provides formula and Python examples for identifying candidates.

The document cautions that historical signals may not forecast future performance and that limit-up moves can be speculative. It recommends corroborating the pattern with financial or technical measures and considering the stock's longer-term direction. No backtest, return evidence, or detailed execution and risk rules are supplied. The examples also leave room for interpretation in how the amplitude threshold and limit-up condition should be implemented, so the screen should not be treated as a validated strategy.

Key ideas

• The screen requires amplitude above 1% and at least one limit-up event in the prior 25 days.
• It excludes stocks that had a limit-up event yesterday.
• The proposed rationale is to find active stocks while avoiding immediate entry after a limit-up move.
• The source warns that historical patterns and limit-up events may be unreliable or speculative.
• It recommends combining the screen with other indicators and longer-term business or price trends.

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