A-Share Screen for Large-Cap Stocks Near Five-Day Highs

Summary

This A-share screening idea combines intraday price movement, listing status, recent price highs, and company size. It selects stocks with a stated amplitude above 1, excludes names containing the ST designation, requires selection before 10:00, and filters for circulating market value above 10 billion yuan. The accompanying Python example calculates amplitude using the high, low, and previous close, then keeps stocks whose close equals the rolling five-session maximum.

The document gives no backtest, return figures, or evidence that these rules predict profitable trades. Its explanation suggests that a larger market value may favor established companies, while acknowledging that larger stocks can move less and that market-value calculations may be imprecise. The “five-part limit-up” label is not explained in detail, and the example operationalizes it as a five-session closing high, so the intended pattern is ambiguous. The screen should be treated as a set of proposed filters, not a validated strategy.

Key ideas

• The screen requires amplitude above 1 and excludes stocks designated ST.
• It is intended to run before 10:00 and filters for circulating market value above 10 billion yuan.
• The code example identifies stocks closing at their rolling five-session high.
• The document provides no performance evidence and leaves the named limit-up method unclear.

Tags

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