A-Share Screening by Daily Range, Limit-Up History, and Market Capitalization

Summary

This daily stock screen selects shares with a price range above 1%, at least two limit-up events within 500 days, and total market capitalization of at least 200 million. The post frames the size condition as a way to narrow the universe toward larger companies, while acknowledging that this can exclude smaller firms with growth potential. It also notes that market capitalization changes with market conditions and may need adjustment.

The code is presented as a reference rather than performance evidence. Its range calculation and limit-up proxy may not match the stated conditions precisely, and it further restricts the universe to codes beginning with 00. The article provides no backtest results, trading rules for entering or exiting positions, or validation of the screen's predictive value. It suggests selecting a size measure and threshold suited to the industry and market context, and treating the output as a candidate list that needs further testing.

Key ideas

• The screen combines a daily range above 1%, at least two limit-up events in 500 days, and market capitalization of at least 200 million.
• The size filter narrows the candidate set but can omit smaller companies with growth potential.
• Market capitalization varies with market conditions, so its threshold may need review.
• The sample code adds a restriction to stock codes beginning with 00 and may not precisely implement the stated rules.
• The document supplies no evidence that the screen produces profitable trades.

Tags

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