A Chinese Stock Screen Using Price Range, Price Level, and Limit-Up History

Summary

This screening proposal selects Chinese equities using three conditions: daily amplitude above one percent, a closing price below 20, and at least two limit-up events within 500 days. The article frames amplitude as a measure of price fluctuation, the price ceiling as a low-price filter, and prior limit-ups as a sign of strong past attention or momentum. It includes formula and Python examples intended to implement the conditions.

The article cautions that this short-term, price-focused screen may overlook company finances and long-term value, and that volatile stocks and changing market conditions affect its usefulness. It recommends adding financial, growth, market-share, industry, and macroeconomic information, though it does not specify how to combine or weight those inputs. The examples are not accompanied by backtest results, and the snippets have potential implementation ambiguities, including how rolling limit-up counts and price-change thresholds are calculated. The screen should therefore be treated as a candidate filter requiring data checks and independent validation, not as a demonstrated investment strategy.

Key ideas

• The screen combines an amplitude threshold, a low closing-price cutoff, and a history of repeated limit-up moves.
• The article interprets limit-up frequency as a possible signal of attention and past strength.
• It warns that price-based screening can miss financial condition, industry context, and longer-term value.
• No backtest evidence is provided, and the implementation details require validation before use.

Tags

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