Screening Stocks for Recent Limit-Ups, Amplitude, and Turnover

Summary

This note proposes placing stocks in a watchlist when their amplitude exceeds 1%, they had at least one limit-up event during the preceding 25 days, and prior-day turnover exceeds 60 million. The rationale is that a recent limit-up may indicate market attention, while turnover filters for trading activity and amplitude selects more volatile shares. It suggests improving the screen with valuation or other fundamentals, moving averages of turnover, and cross-checks against other selection rules.

The post includes formula and Python examples, but does not report a backtest or any measured returns. There are notable translation and implementation uncertainties: the stated 25-day lookback is not clearly represented in the examples, one code condition appears to require a limit-up and other filters on the same row, and the turnover timing differs between the formula and Python example. Limit-up thresholds can also depend on listing segment and security rules. The article acknowledges that the screen omits broader financial measures and that one-day turnover can fluctuate with market sentiment, so its candidate list is not evidence of investment quality.

Key ideas

• The proposed watchlist filter uses amplitude above 1%, a limit-up in the prior 25 days, and prior-day turnover above 60 million.
• The rationale treats recent limit-ups and trading activity as signs of attention, while amplitude identifies more volatile stocks.
• The article recommends adding fundamental filters, smoothed turnover measures, and cross-validation with other screens.
• The sample logic has unclear lookback and timing alignment, and the post provides no performance evidence.

Tags

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