Screening for Volatility, Recent Limit-Ups, and Concentration

Summary

The proposed screen looks for stocks with daily amplitude above one percent, at least one limit-up day in the prior 25 days, and a concentration measure within a stated range. The article interprets larger amplitude as greater price movement and a recent limit-up as a sign of market interest. It presents indicator-style and Python examples, but these do not consistently implement the written rule.

The concentration condition is particularly unclear: the prose says the value is both below 20% and above 70%, which cannot hold simultaneously, while the formula examples use different ranges and operators. The Python example also combines the recent limit-up condition with same-day selection, rather than visibly checking whether such an event occurred within the prior 25 days. No backtest results support the proposed rationale. The article notes that concentration differs across industries and that historical filters may not predict future returns; it suggests adding other dimensions and adapting to market conditions.

Key ideas

• The proposed screen combines daily amplitude, a recent limit-up event, and a concentration measure.
• The article gives a rationale for using volatility and limit-up history as stock-selection filters, but reports no performance evidence.
• The concentration threshold is contradictory in the prose and inconsistent across the examples.
• The sample code does not clearly implement the stated 25-day lookback for a limit-up event.
• The article warns that industry differences and historical data can make the screen unreliable.

Tags

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