Three-Limit-Up Stocks Filtered by Amplitude and Turnover Activity

Summary

This short-term Chinese stock screen calls for price amplitude above 1%, a turnover-based measure between 0.5 and 2, and a recent run of three consecutive limit-up sessions. The measure is described as yesterday’s turnover rate multiplied by today’s auction volume divided by yesterday’s volume. The stated rationale is to find volatile stocks with strong recent price action and trading interest, using consecutive limit-ups as a proxy for market enthusiasm.

The article supplies indicative formulas and a Python example, but no historical results or validation. It warns that chasing a sharp run can expose traders to pullbacks, while the screen ignores company fundamentals and may overemphasize popular themes. It suggests adding valuation measures and tighter risk controls. The implementation is difficult to reproduce as written: the example appears to use market-wide turnover in place of the described stock-level auction-volume ratio, and its limit-up checks and date handling may not match the prose. The screen also gives no entry timing, exit rule, or position sizing, so it should be treated as a selection idea rather than a complete strategy.

Key ideas

• The stated conditions include amplitude above 1% and a turnover-based ratio between 0.5 and 2.
• The screen requires three consecutive limit-up sessions as a signal of strong recent momentum.
• The article identifies overheating and pullback risk from selecting stocks after sharp advances.
• The example code may not calculate the stock-level auction-volume ratio described in the rule.
• No performance test, exit rule, or position-sizing method is reported.

Tags

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