A Chinese Stock Screen Using Intraday Range and 500-Day Limit-Up History

Summary

This document outlines a Chinese equity screen based on an intraday amplitude threshold, exclusion of ST-designated stocks, a five-day high condition described as a limit-up method, and at least two limit-up events over a 500-day lookback. It supplies a formula for counting events and a Python example that attempts to implement the filters. The stated rationale is to combine price movement with repeated historical limit-up behavior.

The author warns that past limit-up activity may not predict future price moves and that the simple criteria can omit relevant information. The examples also leave ambiguity about how the amplitude, five-day condition, and limit-up count correspond to the prose; the formula and code should be checked before use. The document provides no backtest or performance evidence. It recommends refining the signal with more detailed indicators and longer historical data, but offers no tested refinement or demonstrated risk-adjusted outcome.

Key ideas

• The screen combines an amplitude threshold, non-ST status, a five-day high condition, and historical limit-up frequency.
• It requires at least two limit-up events over a 500-day window as described in the text.
• Past limit-up behavior may not predict future price moves.
• The formula and code examples contain implementation ambiguity that should be resolved before testing.
• No performance results are supplied for the screening rules.

Tags

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