Screening Stocks for Volatility, Turnover, and Recent Limit-Up Moves

Summary

The document describes a short-term Chinese equity screen using three conditions: daily amplitude above 1%, previous-day trading value above 60 million, and at least one limit-up move during the prior 25 days. It explains the intended rationale: larger price swings may offer quicker opportunities, while recent limit-ups may indicate attention and potential for further rebounds. It gives example implementations in indicator syntax and Python, but provides no performance results or validation evidence.

The author cautions that these price and turnover signals do not measure company quality, and recent limit-ups may reflect speculation, making selections unstable. Suggested improvements include adding fundamental and technical filters and examining why each stock hit its limit. The examples leave implementation details unclear: the turnover field and lookback logic may not match the stated prior-day and 25-day conditions, and the stated amplitude threshold is interpreted as 1% in the code. Treat the screen as an idea to test, not an established strategy.

Key ideas

• The screen combines a daily amplitude threshold, previous-day turnover, and a recent limit-up event.
• Recent limit-ups are treated as a possible proxy for market attention and rebound potential.
• The stated rationale is heuristic; the document gives no backtest or trading results.
• Price-based filters can select speculative stocks and do not assess company fundamentals.
• The example code should be checked against the stated timing and threshold definitions.

Tags

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