Screening Stocks for High Amplitude, Three-Day Limit-Up Streaks, and Bid Imbalance

Summary

This note describes a Chinese equity screen requiring price amplitude above a threshold, a three-session limit-up sequence, and best-bid volume greater than best-ask volume. It interprets amplitude as a sign of volatility, the consecutive limit-ups as evidence of strong attention or momentum, and the bid/ask size comparison as a positive sentiment signal. The proposed refinement first selects stocks by amplitude and the prior limit-up streak, then checks bid and ask volume within the selected set.

The article suggests adding industry and company fundamentals, along with other quantitative and technical measures, to broaden the assessment. It provides illustrative implementation material, but no performance study or backtest evidence. The discussion flags omitted company and industry risks and warns that the screen alone can select unsuitable stocks. The described bid-size snapshot and streak criteria also do not establish that buying pressure will persist or that the pattern is profitable; the source gives no execution rules or validation results.

Key ideas

• The screen combines high price amplitude, a three-session limit-up streak, and best-bid volume exceeding best-ask volume.
• The article treats the streak as a momentum or popularity signal and the bid imbalance as a sentiment indicator.
• It proposes adding industry, fundamental, and other quantitative analysis to the initial technical screen.
• The article gives no backtest evidence and warns that the method omits company and industry risks.

Tags

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