Screening Large-Capitalization Stocks for Volatility and 2021 Limit-Ups

Summary

This note describes a Chinese equity screen combining circulating market capitalization of at least 10 billion yuan, a prior-day high-to-low ratio above 1, and a limit-up event during 2021. It frames the criteria as a way to find larger, volatile stocks with a history of sharp upward moves. Formula and Python examples are included, but no backtest, selection count, or evidence of subsequent returns is reported.

The author cautions that a past limit-up does not establish predictive power and that attention to short-term price action can sideline fundamentals and longer-term prospects. The examples also raise reproducibility questions: the prose specifies a 2021 event, while the code and formula use different-looking windows and calculations for amplitude and limit-up detection. The screen should be treated as a historical candidate filter, with its dates, price definitions, and event logic checked before research or use.

Key ideas

• The screen requires circulating market capitalization of at least 10 billion yuan and a high-to-low ratio above 1.
• It also looks for a limit-up event during 2021.
• The post emphasizes that historical limit-ups may not predict future returns.
• Its formula and code appear to use differing event and measurement definitions, and no performance evidence is provided.

Tags

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