A-Share Screen for Volatility, Recent Limit-Ups, and Lower Lows

Summary

This A-share stock screen combines three daily price conditions: an intraday high-low range above 1%, at least one limit-up session in the preceding 25 trading days, and a current low below the prior day's low. The accompanying Chinese commentary interprets the first two conditions as signs of volatility and prior market interest, while treating the lower low as a possible rebound setup. It provides example formulas and Python logic for identifying matching stocks.

The document gives no performance results or evidence that the conditions predict returns. It cautions that historical signals may fail, that the screen omits broader financial and technical analysis, and that short-term volatility can bring losses. Its suggested refinements include adding valuation or indicator filters, considering industry and management context, and defining position limits and exit rules. The screen is best understood as a simple candidate-selection rule, not a complete trading strategy.

Key ideas

• The screen requires a daily high-low range above 1%.
• It also requires a limit-up session within the previous 25 trading days.
• The current day's low must be below the previous day's low.
• The document presents the conditions as a way to build a watchlist, not as a proven return strategy.
• It recommends broader validation and risk controls, but supplies no backtest evidence.

Tags

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