A-Share Screen for Volatility, Recent Limit-Ups, and a Narrow Price Band

Summary

This note describes a stock-selection rule requiring daily price amplitude above one percent, at least one limit-up event during the preceding 25 days, and a closing price in a narrow band around 18.5 yuan. It frames the amplitude condition as a volatility filter and recent limit-ups as a sign of market interest. Formula and Python examples show how to calculate daily amplitude, roll a limit-up flag over a 25-day window, and combine the criteria into a candidate list.

The document offers rationale for the filters but no backtest, return statistics, or evidence that the chosen price band predicts performance. It acknowledges that historical signals may not persist, that the screen omits other relevant factors, and that a particular share price does not imply investment value. It suggests adding economic, industry, valuation, and growth considerations. The rule also lacks portfolio construction, exit, sizing, and transaction-cost details, limiting what can be inferred about a complete trading strategy.

Key ideas

• The screen requires daily amplitude above one percent and at least one limit-up in the prior 25 days.
• It further restricts candidates to a closing-price band around 18.5 yuan.
• The note interprets amplitude as a volatility measure and limit-ups as evidence of market attention.
• No backtest or performance evidence is supplied for the thresholds.
• The article recommends broader industry and valuation analysis but gives no exit or risk-management rules.

Tags

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