A Chinese Stock Screen Using Intraday Gain, Prior Limit-Ups, and Range

Summary

This post presents a Chinese stock-selection screen based on price action: select stocks with a stated price range threshold, exclude those that hit the daily price limit previously, and require the gain observed at 9:25 to remain below a stated cap. The suggested ordering by ticker is for easier review, and the post includes example formula and Python-style implementation references.

The rationale is to avoid recently limit-up stocks and names that have already risen sharply before the session, while retaining stocks showing some movement. The post itself acknowledges that the screen ignores broader market direction, may react poorly to rapid changes, and can miss opportunities because it relies on a strict observation time. It suggests adding technical or fundamental filters, but offers no backtest results or evidence that the selection rule predicts returns. The provided code also includes historical-data and timing details that would need careful validation before live use.

Key ideas

• The screen combines a price-range threshold, exclusion of prior limit-up stocks, and a cap on the 9:25 gain.
• Selected names can be sorted by stock code for inspection.
• The stated rationale is to filter recent sharp movers while retaining stocks with price activity.
• The post identifies market direction, rapid market changes, and the strict observation time as limitations.
• No evidence is provided that the screening criteria produce positive returns.

Tags

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