Screening Stocks by Volatility and Recent Limit-Up Frequency

Summary

This post describes a Chinese equity screen that selects stocks with daily amplitude above 1%, excludes stocks that hit the upper price limit on the prior day, and requires more than two limit-up sessions in the preceding ten days. The rationale is to find shares with strong recent price activity while avoiding an immediate repeat of a limit-up day. Its sample Python approach checks recent daily records and counts sessions with a 10% gain; such a threshold may not fit securities with different price-limit rules.

The post characterizes the setup as a short-term, high-risk momentum-oriented screen and cautions that frequent limit-ups do not establish future prospects and may precede a pullback. It suggests adding valuation or fundamental measures and forming a diversified portfolio, but supplies no backtest, performance evidence, or defined risk controls. The sample’s data fields and date handling also leave implementation details unclear, so the stated selection logic needs validation before use.

Key ideas

• The screen looks for stocks with amplitude above 1% and more than two limit-up sessions over ten days.
• It excludes stocks that reached the limit-up price on the previous day.
• The post frames recent limit-up frequency as a sign of short-term activity, not proof of future returns.
• The suggested approach carries pullback risk and has no performance evidence or detailed risk controls.

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