Short-Term Stock Screen Combining Five-Day Strength and Recent Limit-Up Moves

Summary

This Chinese stock-selection proposal combines an intraday amplitude filter, exclusion of ST-designated shares, selection before 10 a.m., a five-part limit-up strategy condition, and evidence of at least one daily gain of 10% or more during the preceding 25 trading days. The supplied Python example operationalizes the recent-return condition with a rolling count and represents the five-part condition as five consecutive closes at or above a five-day simple moving average. It therefore offers a simple momentum-oriented screening recipe, though the article does not define the named limit-up method in detail.

The document provides no results, backtest, or supporting data, so the screen’s effectiveness is not established. It explicitly notes the risk of chasing sharp recent gains and the possibility that technical selection overlooks company fundamentals. It recommends considering fundamentals, additional price and volume measures, and predefined profit-taking and stop-loss rules, without testing those proposed changes.

Key ideas

• The screen combines an amplitude threshold, non-ST status, and a selection-time restriction before 10 a.m.
• It seeks recent momentum by requiring a daily return of at least 10% within the past 25 trading days.
• The example approximates the five-part method using five closes at or above the five-day average.
• The article warns that the approach may encourage chasing prices and may omit fundamental analysis.
• It gives no backtest or evidence of strategy performance.

Tags

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