A-Share Screening by Daily Range, Region, and Prior Limit-Up Status

Summary

This note describes a basic China A-share screen using three conditions: daily high-to-low amplitude above 1%, excluding Beijing-listed stocks, and excluding stocks that hit the daily limit-up on the previous day. It gives example implementations in a market indicator formula and Python, with a suggested ranking by circulating market value in the Python example.

The author says the filters aim to find stocks with price movement while avoiding regional factors and recent short-term exuberance. The note provides no backtest, performance figures, or evidence that these filters improve returns. It flags the absence of fundamental and industry analysis, sensitivity to market sentiment, and the risk of focusing too heavily on short-term gains. It suggests adding market capitalization, fundamentals, valuation, and risk controls, but does not specify or test those additions.

Key ideas

• The screen requires daily high-to-low amplitude above 1%.
• It excludes Beijing-listed stocks and stocks that closed at limit-up the prior day.
• The examples show how to express the filters in a market formula and a Python workflow.
• The note offers no performance evidence and warns that the screen omits fundamentals and broader market risks.

Tags

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