Chinese Stock Screen for Volatility, Recent Limit-Ups, and a Reversal Pattern

Summary

This document describes a Chinese A-share screening rule that combines daily price range, recent limit-up activity, and a bullish candle condition. It selects stocks whose high-to-low range exceeds 1%, that had at least one limit-up day in the prior 25 sessions, and whose current open and close are below the previous close. It also provides example formulas and Python logic for applying the conditions to historical stock data.

The stated rationale is that a larger range signals volatility, while a recent limit-up may indicate market interest. The candle condition is labeled a morning-star signal, though the supplied rule is a specific set of price comparisons rather than a full explanation of that pattern. No performance results or backtest evidence are reported. The author notes that historical screening may not predict future returns, the candle indicator may fail in some conditions, and omitting industry or economic information can introduce selection bias. Suggested refinements include adding other technical indicators and broader contextual factors.

Key ideas

• The screen requires a daily high-to-low range greater than 1%.
• A qualifying stock must have had at least one limit-up event during the previous 25 sessions.
• The current open and close must both be below the previous session’s close.
• The document provides formula and Python examples but reports no performance test.
• The author cautions that the rules may not work across all market conditions.

Tags

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