A-Share Screening with Volatility, Limit-Up History, and Recent Gains

Summary

This document describes a Chinese A-share screening rule that combines daily price range, prior limit-up activity, and a recent large daily gain. Its stated criteria select stocks with an intraday range above 1%, at least one limit-up day in the preceding 25 days, and a daily gain of at least 10% within the latest 25 trading days. It frames the signals as signs of volatility, market interest, and short-term upward momentum, then shows example implementations for a charting platform and Python.

The note warns that historical signals may not predict future returns, that unusually large short-term moves can carry heightened risk, and that the screening process can be difficult to manage. It suggests adding technical and fundamental analysis and setting position sizes and exit rules. The examples are not fully consistent: the Python version adds a 30-day low condition, while the written final rule does not; calculation details also vary. No backtest or performance evidence is reported.

Key ideas

• The screen combines an intraday range threshold with limit-up history and a recent large daily gain.
• It treats volatility and past price surges as possible signs of interest and momentum.
• The document cautions that historical price patterns do not ensure future performance.
• Its code examples add or express conditions differently from the written screening rule.
• The author suggests fundamental checks and explicit sizing and exit controls.

Tags

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