Screening Volatile Stocks with Recent Limit-Ups and Prior-Day Top-List Activity

Summary

This China equity screen looks for stocks with daily amplitude above 1, at least two limit-up sessions in the preceding 500 days, and an appearance on the prior day's market top list. The document interprets amplitude and repeated limit-ups as signs of active trading and the top-list appearance as evidence of recent market attention. It also provides formula descriptions and a sample selection workflow for combining the three filters.

No historical performance results or validation are presented, and the sample code is illustrative rather than a complete tested strategy. The document cautions that amplitude, limit-up frequency, and recent top-list activity are short-term signals that may not indicate long-term value; fundamentals are omitted. It suggests adding valuation, sector context, or trend filters, but gives no evidence that these additions improve outcomes. The rules identify candidates only and do not specify execution, position sizing, or exit logic.

Key ideas

• The screen combines amplitude above 1, at least two limit-ups over 500 days, and prior-day top-list inclusion.
• The approach treats repeated limit-ups and top-list activity as proxies for market attention.
• The document presents formula and code references but provides no tested performance evidence.
• The short-term filters omit fundamentals and do not specify entries, exits, or position sizing.

Tags

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