A-Share Screening for Recent Limit-Ups and Above-Average Volume

Summary

This note describes an A-share screening approach that combines a daily high-low range greater than one percent, at least one limit-up session during the previous 25 days, and current volume above its 21-day average. The accompanying Python example adds a fourth filter: the current low must remain within ten percent of the lowest low over 30 days. The proposed interpretation is that recent limit-up activity may indicate market interest, while elevated volume suggests active trading; selected stocks form a candidate pool rather than an automatic buy signal.

The document provides formula and Python examples but no backtest results or evidence that the criteria predict returns. It warns that historical patterns may not continue, volume-based indications can be temporary, and trading costs and risk need consideration. The written description and examples are not fully aligned: the sample code includes the extra low-price condition, and the indicator labeled as control activity is implemented as a volume-average comparison. These details should be verified before using the screen.

Key ideas

• The stated screen combines a daily range above one percent, a limit-up event in the prior 25 sessions, and volume above its 21-day average.
• The Python example adds a requirement that the current low be within ten percent of the 30-day low.
• The author treats the resulting stocks as a watchlist or candidate pool.
• No performance test is presented, and the note cautions that historical signals may fail to persist.
• The sample implementation should be checked because it adds a condition and uses volume as a proxy for control activity.

Tags

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