A Chinese Stock Screen Using Range, Recent Limit-Ups, and Volume Ratio

Summary

The document describes a Chinese equity screening rule that selects stocks with an intraday range above one percent, at least one limit-up day within the prior 25 trading days, and a current volume ratio between 1.5 and 6. Qualifying stocks enter a candidate pool. It provides example indicator logic and Python-style data processing that calculate the conditions and sort selected names by closing price.

The rationale is that a wide range may indicate movement potential, a recent limit-up may reflect market interest, and the volume band may capture active but not extreme trading. The document cautions that the screen relies on historical price and volume data and omits company fundamentals. It suggests combining the signals with financial data and other technical measures. No backtest results, transaction-cost analysis, or portfolio rules are supplied, and the sample implementation’s data-field assumptions would need validation before use.

Key ideas

• The screen combines a daily range threshold, a recent limit-up event, and a bounded volume ratio.
• A limit-up event is sought within a rolling 25-day lookback.
• The stated rationale associates the filters with movement potential, market interest, and trading activity.
• The screen omits fundamental analysis and may select companies with weak underlying businesses.
• The document provides example formulas but no performance or transaction-cost evidence.

Tags

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