A Chinese Stock Screen Using Range, Recent Limit-Ups, and Prior-Day Low

Summary

This Chinese-language strategy note proposes adding stocks to a candidate pool when they have a price range above a stated threshold, at least one limit-up event in the preceding 25 days, and a current close above the previous session’s low. It interprets the range as a volatility condition, the recent limit-up as evidence of an unusually strong price move, and the close-versus-low comparison as a momentum clue. It suggests that volume, turnover, technical indicators, and company fundamentals could be added for further screening.

The note includes formula and Python examples, but the examples appear inconsistent with the written rule: the Python retrieves weekly data, combines the conditions on the same row, and does not implement the stated 25-day lookback for limit-ups. No backtest or performance evidence is provided. The stated caveats include weak market conditions, company-specific deterioration, and the risk that strict filters exclude otherwise attractive stocks.

Key ideas

• The proposed screen combines a range threshold, a limit-up event within the prior 25 days, and a close above the prior low.
• Recent limit-up activity is treated as a signal of unusual price strength, though it does not establish future gains.
• The note suggests adding volume, turnover, technical indicators, and fundamental analysis.
• The sample Python implementation uses weekly bars and does not clearly apply the stated lookback condition.

Tags

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