A Chinese Stock Screen Combining Intraday Range, Five-Day Highs, and Positive P/E

Summary

This Chinese equities screen combines four filters: price amplitude above 1, exclusion of special-treatment stocks, selection before 10:00, and positive price-to-earnings ratio. Its stated “five-step limit-up” condition is represented in the example code by requiring the close to equal its rolling maximum over five observations. The article also gives an indicator formula for the P/E filter and a Python illustration of the screening steps.

The article offers no backtest, performance figures, or evidence that the combined filters predict limit-up moves. It warns that P/E can be interpreted differently and that the screen leaves out factors such as liquidity and sector direction. It suggests adding volume and price analysis and understanding how P/E is calculated. The example code’s amplitude calculation and five-observation closing-high condition are implementation details; the article does not establish that these fully define the named strategy or how signals should be traded.

Key ideas

• The screen combines amplitude above 1, non-ST status, selection before 10:00, and positive P/E.
• The example implements the named limit-up condition by checking whether the close equals its rolling five-observation maximum.
• The article suggests adding volume and price analysis and considering liquidity and sector direction.
• No backtest or performance evidence is provided.

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