A-Share Stock Screening with Volatility, Recent Limit-Ups, and Order Flow

Summary

This note describes a Chinese A-share stock screen combining three conditions: daily high-low amplitude above one percent, at least one limit-up event in the previous 25 days, and outside volume exceeding inside volume by a ratio greater than 1.3. The selected stocks enter a candidate investment pool. It gives indicator-formula and Python examples that illustrate how to express the conditions, including a rolling-window check for recent limit-ups.

The rationale offered is that larger amplitude may accompany stronger price moves, a recent limit-up may indicate a notable price pattern, and heavier outside volume may suggest buying interest. The article provides no performance results or backtest evidence, and its formula examples may not implement the stated lookback logic consistently. It also cautions that volatile stocks can carry substantial risk and that the screen may adapt poorly across market conditions. The author suggests adding technical and fundamental filters and reviewing the selection rules over time.

Key ideas

• The screen requires amplitude above one percent, a limit-up event within the previous 25 days, and an outside-to-inside volume ratio above 1.3.
• The conditions are presented as a way to form a pool of candidate A-share investments.
• The article supplies formula and Python examples but does not report backtest performance.
• The author warns that high volatility and changing market conditions can limit the screen’s reliability.

Tags

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