A Stock Screen Combining Daily Range, Two-Day Highs, and Limit-Ups

Summary

This document outlines a Chinese stock-screening rule that combines a daily price-range threshold, a fresh two-day high, and at least two limit-up events over a 500-day lookback. It also includes a positive earnings-per-share condition. The proposed logic uses price and event-count indicators to identify stocks showing recent strength, with positive EPS serving as a basic profitability filter. Formula and pseudocode examples illustrate how the conditions might be combined, though platform-specific implementation details may need adjustment.

The article describes the method as mixing technical and fundamental screening, but offers no test results or performance evidence. It cautions that the approach leaves out factors such as liquidity and policy conditions, which may affect risk and selection quality. Suggested extensions include valuation and return-on-equity measures, trend and volume indicators, and broader multi-factor review. The listed conditions define a candidate screen; they do not specify entry execution, exits, sizing, or risk controls, so they are insufficient on their own to establish a complete strategy.

Key ideas

• The proposed screen requires daily amplitude above 1% and a high equal to the highest high of the current and prior day.
• It adds a requirement for at least two limit-up events over a 500-day window.
• Positive earnings per share is included as a basic fundamental filter.
• The article notes that liquidity and policy factors are omitted and suggests broader fundamental and technical checks.
• No backtest or performance evidence is presented.

Tags

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