A Stock Screen Combining Price Range, Limit-Up Exclusion, and Leaderboard Activity

Summary

The document proposes a Chinese equity screen that selects stocks with a daily high-low range above a threshold, excludes stocks that closed at the daily limit-up on the prior day, and requires appearance on the previous day's trading leaderboard. Its rationale is that a larger range may identify active names, excluding recent limit-up stocks may avoid unstable rapid advances, and leaderboard presence may reflect news or concentrated capital flows.

The article advises combining these conditions with fundamentals, technical indicators, industry characteristics, and the macroeconomic backdrop. It acknowledges that the screen ignores many relevant factors and that leaderboard activity can be driven by uncertain market sentiment and news. A sample code fragment illustrates data retrieval and filtering, but the text provides no backtest, performance results, precise validation of the threshold, or evidence that the selected stocks will be strong investments. The final strategy description is broader than the initial screen because it also calls for further analysis and diversification.

Key ideas

• The proposed screen combines a large daily price range with prior-day limit-up exclusion and leaderboard appearance.
• The author interprets range as a measure of activity and leaderboard presence as a possible signal of news or capital flows.
• Leaderboard activity is sensitive to sentiment and news, so it is uncertain.
• Fundamental, technical, industry, and macroeconomic factors are suggested as additional filters.
• The document offers no backtest or evidence that the screening rules produce positive returns.

Tags

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