A-Share Screen for Volatility and Recent Limit-Up Events

Summary

This Chinese A-share screening idea selects stocks with daily amplitude above 1%, excludes Beijing-listed shares, and requires a limit-up event within the prior 25 days. The document presents the rule as a way to focus on volatile stocks with recent strong price moves, then suggests broadening the analysis to include market trends, sector behavior, and fundamentals. It provides sample implementations for a screening formula and a Python workflow, but neither is accompanied by backtest results or performance evidence.

The author flags that the screen relies on short-term price behavior, omits longer-term trends and fundamentals, and uses a geographic exclusion that may unnecessarily narrow the universe. The example code also appears to have ambiguities: its amplitude threshold is expressed as 1%, while its limit-up condition may not directly identify an official limit-up event. Treat the rule as an illustrative screen requiring careful definition and validation, not as a demonstrated investment strategy.

Key ideas

• The screen requires daily price amplitude above 1% and a limit-up event in the preceding 25 days.
• It excludes Beijing-listed A-shares, which narrows the eligible universe by listing location.
• The document recommends adding market, sector, and fundamental information to address omissions in the simple screen.
• No backtest or evidence of returns is provided, and the sample condition for detecting limit-up events may need validation.

Tags

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