A-Share Screen for Volatility, Recent Limit-Ups, and Rising Average

Summary

This note describes a Chinese stock selection screen combining daily price range, a history of limit-up moves, and a rising 30-day moving average. It selects shares whose high-to-low range exceeds 1% of the previous close, that recorded at least two limit-ups over 500 days, and whose 30-day average close is rising. The article also gives illustrative indicator formulas and Python-style screening logic, though the code's measures do not consistently match the stated criteria.

The rationale is that large swings and prior limit-ups may indicate trading interest, while a rising average adds a basic trend filter. The author cautions that a 30-day average may miss short-term shifts and that the 500-day lookback omits longer-term context. Suggested improvements include adding company size, financial, and industry information and doing further risk analysis. No backtest results or performance evidence are provided, so the screen is a hypothesis for research rather than a validated strategy.

Key ideas

• The screen combines a daily range threshold with at least two limit-up events in a 500-day window.
• It requires the 30-day moving average of closing prices to be rising.
• The article presents the indicators as proxies for volatility, trading interest, and price trend.
• The code examples may not faithfully implement all of the stated screening rules.
• The note gives no performance testing and flags limited lookback and trend measurement as caveats.

Tags

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