A-Share Screen for Recent Limit-Ups, Daily Range, and Company Scale

Summary

This note describes a China A-share screen that places a stock in a candidate pool when its daily price range exceeds a threshold, it has recorded at least one limit-up day in the prior 25 sessions, and its stated scale measure is above 200 million. The rationale associates a larger range with greater price movement, a recent limit-up with favorable market attention, and company scale with relative stability. Formula and Python examples are included to illustrate the proposed filters.

The article reports no backtest or return evidence, and the filters do not establish that a stock will continue rising. It acknowledges that volatile stocks may carry greater risk, historical signals may not persist, and size measures can be misleading as firms and industries change. It suggests refining the size screen and adding financial, industry, and technical information. The code example’s conditions should be reviewed carefully: its logic does not clearly implement the described prior-25-session lookback as a rolling check.

Key ideas

• The screen combines a daily range threshold, a limit-up within the prior 25 sessions, and a scale threshold.
• The author interprets range and limit-up activity as signs of movement and market attention.
• The note provides no evidence that these historical conditions predict future returns.
• The example implementation may not correctly apply the stated rolling limit-up condition.

Tags

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