A-Share Screening with Intraday Range, Recent Limit-Ups, and Volume Share

Summary

This note describes a stock screen that combines an intraday range threshold, at least one limit-up session in a recent lookback period, and current trading volume equal to at least 5% of circulating shares. The stated rationale is that larger ranges may accompany stronger price moves, prior limit-ups may identify stocks with exceptional momentum, and high volume relative to shares outstanding may indicate market interest. It provides example indicator logic and Python-style code for applying the conditions.

The note offers no backtest, performance figures, or evidence that the filters predict future returns. It cautions that the screen relies heavily on technical measures and may be ambiguous in how recent limit-ups and volume share are calculated. It suggests adding fundamental information and market context such as sector activity. The examples also appear to differ in their lookback period and volume-share inputs, so implementation details need validation before use.

Key ideas

• The screen requires a daily high-low range above 1%.
• It looks for a recent limit-up event and current volume of at least 5% of circulating shares.
• The document frames these conditions as possible signals of volatility, momentum, and market interest.
• It provides example formula and Python logic but no performance test.
• It recommends combining technical filters with fundamentals and broader market context.

Tags

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