A-Share Screening With Recent Limit-Ups and Valuation Filters

Summary

This community post describes a China A-share stock screen that combines recent price behavior with valuation and listing filters. The stated criteria include Shenzhen main-board stocks with positive price-to-earnings and price-to-book ratios below specified ceilings, a recent trading-range amplitude threshold, a minimum listing age, and more than two limit-up sessions within ten days. It outlines the intended idea of using repeated limit-ups as a proxy for market attention or capital flows, alongside basic valuation constraints.

The post offers illustrative indicator calculations and sample Python logic for applying the filters, but it does not provide a backtest, return series, or evidence that the rules predict performance. It also acknowledges that a short window of limit-up counts can be distorted by a small number of stocks and misses broader market conditions and company fundamentals. The sample implementation should be treated cautiously: its listed calculation for counting limit-up sessions is not necessarily equivalent to detecting actual exchange limit-up events, and the stated range-amplitude logic differs between the prose and code.

Key ideas

• The screen combines Shenzhen main-board eligibility, valuation limits, price amplitude, listing age, and recent limit-up frequency.
• Repeated limit-up sessions are presented as a rough signal of attention and possible capital flows.
• The post suggests adding volume, fund-flow, business, industry, and policy information to broaden the screen.
• No backtest or performance evidence is supplied, so the selection rules remain unvalidated in the document.
• The sample code’s rolling price-maximum count may not correctly identify actual limit-up sessions.

Tags

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