A-Share Stock Screening with Volatility and a Five-Limit-Up Rule

Summary

This note outlines a Chinese A-share screening rule combining daily price range, exchange prefix, stock status, trading-day filters, and a limit-up-related condition. It targets stocks whose high-to-low range exceeds 1%, whose codes begin with 60, and whose names are not marked ST. It also describes selecting up to five candidates based on recent limit-up behavior, with the stated goal of screening before 10 a.m. The article includes example formulas and Python code to illustrate the filters.

The rationale is that larger ranges indicate volatility, while excluding ST stocks is intended to avoid specially treated companies. The note warns that volatility alone does not imply favorable performance, the code prefix excludes other markets, and the method’s effectiveness needs ongoing validation. It suggests adding fundamental and technical measures and distinguishing among types of limit-up moves. The examples have timing and logic details that may not align perfectly with the prose, and the document provides no backtest results or evidence that the selection rule is profitable.

Key ideas

• The screen combines a range threshold with a Shanghai-market code prefix and an ST exclusion.
• It uses a limit-up-related condition to rank or select a small group of candidates.
• The article presents example formulas and Python code, but reports no performance evaluation.
• The author cautions that volatility and stock classification alone do not establish investment quality.

Tags

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