Stock Screen Using Amplitude, Limit-Ups, and Ten-Day Momentum

Summary

This Chinese equity selection proposal filters for stocks with daily amplitude above one percent, at least two limit-up events within the past 500 days, and a positive ten-day return below 35 percent. The rationale combines recent positive momentum with signs of strong price movement and market enthusiasm. The document includes formula references and sample code for approximating the filters, then suggests ranking candidates by total assets to form a stock pool. The implementation details contain inconsistencies in how amplitude and limit-up events are expressed, so the examples should not be treated as a verified specification.

No backtest results, transaction costs, benchmark comparisons, or evidence of predictive performance are supplied. The author notes that price movement and market sentiment have limits as predictors and can change with market and economic conditions. Suggested refinements include adding technical and fundamental measures such as moving averages, valuation, or return on equity, and adapting the approach to current conditions. The screen is therefore an idea for further research, not evidence of a profitable strategy; limit-up rules and corporate actions may also require careful market-specific handling.

Key ideas

• The screen combines daily amplitude, historical limit-up frequency, and positive ten-day momentum capped below 35 percent.
• The document frames limit-ups and recent gains as possible indicators of market enthusiasm.
• It supplies formulas and sample code, but their definitions are not fully consistent.
• No backtest or measured evidence establishes that the screen predicts returns.
• The author recommends adding technical and fundamental filters and adapting to market conditions.

Tags

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