Stock Screening with Amplitude, Recent Leaderboard Appearance, and Limit-Ups
Summary
The document describes a Chinese equity screen that selects stocks with an amplitude above 1, an appearance on the previous day’s trading leaderboard, and at least one limit-up event during the prior 25 trading days. It interprets these conditions as proxies for volatility, market attention or sentiment, and short-term momentum. It also gives formula and Python references for combining the filters into a candidate list.
The screen’s rationale is suggestive rather than empirically demonstrated: the text supplies no backtest results or performance statistics. It cautions that a prior limit-up does not establish continuing momentum and that short-term technical conditions can change quickly. It proposes adding indicators, fundamental information, or limit-up frequency and machine-learning analysis, but does not test those refinements. The rule definitions and sample data references may also require adaptation to the data source and intended trading date.
Key ideas
- Filter for amplitude above 1 and a previous-day leaderboard appearance.
- Require at least one limit-up event in the preceding 25 trading days.
- The conditions are presented as proxies for volatility, attention, and momentum.
- Past limit-up activity does not guarantee continued strength, and no performance evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.