A-Share Screen for Volatility, Recent Limit-Ups, and Broker-Flow Listings

Summary

This proposed Chinese equity screen selects stocks whose daily range exceeds 1%, that had at least one limit-up day in the prior 25 days, and that appeared on the previous day’s Dragon-Tiger List. The article interprets these conditions as signals of higher volatility, market recognition, and investor attention, then provides example formula and Python implementations for filtering candidates.

The document gives a rationale for the filters but no backtest, returns, or comparison with a benchmark. It cautions that historical selection conditions may not predict future performance, a listed limit-up stock can reverse, and trading value on the list does not establish buying pressure. It suggests adding fundamentals, industry context, and other indicators, but does not specify how to combine them or how to manage positions and risk.

Key ideas

• The screen combines a daily range threshold, a limit-up occurrence in the prior 25 days, and a previous-day Dragon-Tiger List appearance.
• The stated rationale links the filters to volatility, market attention, and prior strength.
• The article provides example implementations for selecting qualifying stocks.
• Historical signals may fail, and list trading value alone does not reveal directional buying pressure.
• The document offers no performance evidence or position-management rules.

Tags

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