Chinese A-Share Screen for Daily Range and Prior Limit-Ups

Summary

This stock screen selects shares with a daily high-to-low range above one percent, excludes Beijing-listed A shares, and rejects stocks that reached the upper price limit on the previous day. The document presents short-term volatility as a way to find potential opportunities and treats the prior limit-up exclusion as a filter. It also proposes expanding the screen with market capitalization and company financial measures, including valuation and dividend yield.

The article supplies example formula and Python-style implementations, alongside cautions that the basic rules focus on short-term price movement and omit company quality and broader conditions. Its suggested refinements include reviewing financial statements and considering management, industry, and macroeconomic factors. The examples have inconsistencies: the market-cap ranges differ between the prose and code, and the code's board exclusion condition appears at odds with the stated Beijing exclusion. No backtest results or evidence of profitability are reported, so the screen is a starting hypothesis rather than a validated strategy.

Key ideas

• The core screen requires a daily price range above one percent and excludes Beijing A shares.
• It removes stocks that hit the upper price limit on the preceding day.
• The article suggests adding market capitalization and financial quality filters.
• The examples contain inconsistencies in market-cap bounds and the board exclusion condition.
• No evidence is provided that the screen produces profitable trades.

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