A-Share Screen for Large Daily Ranges and Recent Limit-Up Activity

Summary

This post describes a short-term Chinese equity screen based on daily price range, exchange region, and recent limit-up frequency. Its initial rule selects stocks whose high-to-low range exceeds a stated threshold, excludes Beijing-listed A-shares, and requires more than two limit-up days within ten days. The post also sketches indicator logic for the range and limit-up conditions.

The proposed revisions expand beyond the original filter: they suggest an upward-moving trend with relative short-term stability and stronger recent business performance, with illustrative moving-average and price-change conditions. The author identifies risks from overemphasizing short-term limit-ups, distorted results after sharp price moves, a small candidate set, and parameter overfitting. The supplied code is incomplete in places, and the post reports no backtest, returns, or evidence that the revised criteria improve results; its suggestions therefore need independent implementation and evaluation.

Key ideas

• The initial screen combines a large daily range, exclusion of Beijing A-shares, and frequent recent limit-up closes.
• The post proposes adding trend stability and recent company performance to broaden the selection criteria.
• Short-term limit-up counts can overemphasize market heat and produce distorted or sparse results.
• The illustrative implementation is incomplete and gives no performance validation.

Tags

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