A Chinese Stock Screen Using Daily Range and Limit-Up Filters

Summary

This stock-selection note describes a simple screen for Chinese equities based on daily price range and recent limit-up behavior. It proposes selecting stocks with an intraday range above a stated threshold, excluding those that hit the upper price limit the previous day, and filtering out stocks that were limit-up on the prior session. The accompanying formula examples illustrate how the author intended to express these conditions, though the Python example is not a reliable implementation as written.

The note argues that a larger range can identify more active stocks, while avoiding recent limit-up moves may reduce exposure to unstable or speculative names. It also suggests adding technical indicators, company fundamentals, industry context, and money-flow information. No backtest results or performance evidence are provided. The screen alone does not assess valuation, financial health, execution costs, or whether the selected stocks have favorable expected returns; its brief volatility and limit-up rules may behave differently across market conditions.

Key ideas

• The screen looks for stocks whose daily high-to-low range exceeds a threshold.
• It excludes stocks associated with limit-up moves on the preceding session.
• The author proposes adding technical, fundamental, industry, and money-flow filters.
• The note provides no performance data to establish whether the screen is profitable.

Tags

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