Chinese Stock Screen Combining Recent Limit-Ups and Bollinger Band Position

Summary

This Chinese A-share screening rule selects stocks with daily amplitude above 1%, at least one limit-up day in the previous 25 trading days, and a close between the 20-day Bollinger middle and upper bands. The note interprets the first condition as a volatility filter, the recent limit-up as a sign of market interest, and the band position as evidence of a rising short-term trend. It provides formula and Python examples for identifying candidates.

The output is a watchlist or investment pool rather than a fully specified strategy: there is no holding period, execution plan, exit condition, benchmark, or backtest. The document cautions that historical signals may not predict future returns, the limited set of filters can bias selection, and Bollinger Bands have limitations. It suggests considering additional flow or technical measures, but presents no evidence that those additions improve results. The screening rationale should therefore be treated as a hypothesis requiring separate validation.

Key ideas

• The screen requires daily amplitude above 1% and a limit-up event within the prior 25 trading days.
• It further requires the close to fall between the 20-day Bollinger middle and upper bands.
• The note treats the combination as a filter for volatile stocks with recent attention and a rising short-term price position.
• It supplies example implementations but no backtest, benchmark, holding period, or exit rules.

Tags

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