A-Share Screen Using Range, Relative Volume, and Recent Limit-Ups

Summary

This A-share stock screen combines daily price range, relative trading volume, and recent limit-up activity. It selects stocks whose high-to-low range is at least 1% of the low, whose volume is between 1.5 and 6 times its five-day average, and whose recent price history meets a limit-up-related condition within 25 days. The article presents the screen as a way to find volatile, actively traded stocks with recent strength, and gives examples of expressing the rules in an indicator formula and a Python-style workflow.

The author cautions that the screen relies on recent price and volume behavior and may select financially risky companies. Suggested extensions include adding valuation or other fundamental measures, volume-price indicators, and multiple factors, then tuning conditions with historical testing. No performance results or backtest evidence are provided. The formula and accompanying code also appear to differ in how they express the range threshold and recent limit-up test, so the implementation details should be checked before relying on the signal.

Key ideas

• The screen requires a daily high-to-low range of at least 1% of the low price.
• Relative volume must be between 1.5 and 6 times its five-day average.
• The selection rules include a limit-up-related condition within the prior 25 days.
• The article recommends adding fundamental and volume-price factors to broaden the screen.
• No backtest results are supplied, and the example implementations may not encode every rule identically.

Tags

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