A-Share Stock Screen for Large Moves and Three-Day Limit-Up Streaks

Summary

This note describes a Chinese A-share screening rule combining daily price range, a recent run of limit-up sessions, and a size or trading-volume threshold. It frames a large range as a sign of active trading, three consecutive limit-ups as evidence of strong buying interest, and the size filter as a possible way to favor more liquid stocks. The accompanying Python example represents these conditions with daily market data and ranks selected records by volume.

The note cautions that a screen driven by short-term sentiment may overlook a company’s longer-term value, and that size alone does not ensure liquidity. It suggests adding fundamental analysis and market-trend or indicator filters. No backtest, performance evidence, or detailed risk controls are provided. The example also mixes a stated size criterion with a volume-based implementation, so the operational meaning of the threshold needs verification before use.

Key ideas

• The screen combines a large daily range, three prior consecutive limit-up sessions, and a size threshold.
• The note treats recent limit-up activity as a proxy for strong market interest.
• It recommends adding fundamental and trend analysis to reduce reliance on short-term price action.
• The Python example ranks qualifying records by volume, which may not match the stated size condition.

Tags

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