Stock Screen for Recent Limit-Up Activity and Daily Volatility

Summary

This screening idea selects stocks with daily amplitude above 1%, excludes those that hit the daily price limit on the prior session, and requires at least one limit-up event within the preceding 25 days. The post frames the volatility condition as a way to find active names, the prior-day exclusion as a way to avoid immediate limit-up moves, and the recent event as a momentum clue. A short Python example sketches how to apply the conditions using daily price data.

No backtest, performance figures, or trade examples are supplied, so the screen’s expected edge is unverified. The author cautions that limit-up events can be random and that the rules omit fundamental and other technical information. The post suggests adding valuation or momentum measures and considering industry and macroeconomic context; these are suggestions, not tested improvements. The example’s handling of dates and price-limit thresholds may not generalize across securities or market regimes, requiring validation before use.

Key ideas

• The screen requires daily amplitude above 1%, no limit-up on the previous day, and a limit-up event in the prior 25 days.
• Recent limit-up activity is treated as a potential sign of strength, while the previous-day filter avoids immediate limit-up stocks.
• The post provides a code sketch but no evidence of historical or live performance.
• The author notes that limit-up events may be random and that the screen omits broader fundamental and technical factors.
• Industry context and additional measures are proposed as possible extensions.

Tags

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