A Limit-Up and Volatility Screen for Chinese A-Shares

Summary

This post outlines a rule-based stock screen for Chinese A-shares. Its initial description selects stocks with an amplitude above one, excludes Beijing-listed shares, and requires at least two limit-up sessions within the prior 500 days. The post then proposes a revised version: amplitude above two percent, at least two limit-up sessions within roughly a month, a closing price above 10 yuan, and exclusion of Beijing shares. It includes example indicator logic and Python-style selection code to illustrate the conditions.

The author frames amplitude as a volatility filter and prior limit-ups as evidence of strong price movement, but gives no backtest, return series, or comparison with a benchmark. The revised criteria also add a 20-day high condition in the example code, so the written rules and implementation are not fully aligned. The post cautions that short-term strength can overlook longer-term prospects and that concentrated or manipulated trading may raise risk. Treat the screen as an illustrative hypothesis; the article does not establish its profitability or robustness.

Key ideas

• The screen combines price amplitude, recent limit-up frequency, listing-board exclusion, and a minimum closing price.
• The post presents different lookback periods in its initial and revised screening rules.
• Its example code adds a recent-high condition that is not clearly stated in the revised written rules.
• The author warns that limit-up counts can emphasize short-term moves and may overlook longer-term risks.
• No backtest or performance evidence is provided to support the screen.

Tags

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