A-Share Screening by Morning Price, Prior Limit Status, and Volume Growth

Summary

The post describes a Chinese A-share screening rule combining three conditions: today’s increase in position or volume share must exceed 5%, the stock must not have closed at its daily upper price limit yesterday, and its quoted gain at 9:25 must be below 6%. The accompanying explanation interprets rising trading activity as stronger buying interest and the other filters as ways to avoid recently limit-up stocks and stocks that have already risen sharply before the open.

The post also shows a sample implementation that adds valuation and profitability filters, including price-to-earnings and price-to-book ceilings and a return-on-assets threshold. These criteria are presented as illustrative additions, not as tested improvements. No backtest results, performance statistics, or precise definition of the volume-related measure are supplied. The author cautions that the screen focuses on trading activity and price movement while omitting company and industry fundamentals, and may perform poorly during sharp market moves.

Key ideas

• The screen requires a greater than 5% increase in the stated daily position or volume measure.
• It excludes stocks that hit the upper price limit on the previous day.
• It requires the 9:25 quoted gain to remain below 6%.
• The sample code adds valuation and return-on-assets filters beyond the headline rule.
• The post gives no performance evidence and notes that market swings and missing fundamental factors are risks.

Tags

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