Screening Stocks for Large Daily Ranges, Moving Average Crossovers, and Recent Limit Ups

Summary

This document describes a short-term Chinese stock screen combining a daily amplitude threshold, several moving-average crossovers, and a requirement that the stock had three consecutive limit-up sessions the previous day. The proposed rationale is that recent limit-up activity may indicate market attention, while simultaneous crossovers are intended to capture a technical shift in price direction. It also suggests adding fundamental factors when narrowing the candidates.

The document supplies formula and Python examples, but no backtest, performance statistics, or rules for exits, position sizing, and risk control. Its code should be treated as illustrative: some conditions are ambiguous or inconsistent with the written screening logic, and the example’s price-limit calculation may not fit every stock or market rule. The screen therefore describes a candidate-generation idea, not a validated trading strategy; recent price surges can reverse sharply, and fundamentals and broader market conditions remain unaddressed.

Key ideas

• The screen combines a daily amplitude threshold with multiple moving-average crossovers.
• It requires three consecutive limit-up sessions before the screening date.
• Recent limit-up activity is presented as a possible signal of market attention.
• The document recommends adding quantitative factors or fundamental analysis to refine selections.
• No evidence is provided that the combined rules produce profitable trades.

Tags

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