A Chinese Stock Screen Using Price Range, Limit-Up Signals, and Listing Age

Summary

This document describes a Chinese equity screen that combines daily amplitude above 1, exclusion of ST-designated stocks, a five-session limit-up-related condition, and a minimum listing age. The accompanying Python sketch translates these ideas into filters: it calculates a high-low or prior-close range, checks names for the ST label, compares closing price with a rolling five-session maximum, and filters by time since listing. The listing-age threshold is left unspecified in the prose, while the example uses more than one year.

The article argues that excluding very recently listed stocks may remove some new issues, but it provides no evidence that this improves selection or returns. It also acknowledges that market conditions change and that choosing the listing-age period requires judgment. The implementation is only illustrative: a close at a rolling maximum is not necessarily a five-session limit-up pattern, and the range measure's units and threshold depend on the data. The screen requires precise rule definitions and testing before use.

Key ideas

• The screen combines price range, ST-status exclusion, a five-session price condition, and listing age.
• The Python example uses a rolling closing-price maximum as its proxy for the five-session condition.
• The prose leaves the minimum listing age open, while the example applies a threshold of more than one year.
• The article cautions that market regimes and the chosen listing-age period can change the screen's meaning.
• No performance results are provided, and the example may not implement the described limit-up method precisely.

Tags

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