Chinese Stock Screen for Volatility, Recent Limit-Ups, and Rising Lows

Summary

This document describes a Chinese A-share screening rule that combines daily price range, a recent limit-up move, and a rising-low 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 low is within 10% of the lowest low in a 30-session window. The stated rationale is to find volatile stocks with evidence of recent strength and a possible emerging uptrend. Example screening logic is provided in indicator-formula and Python form.

The article gives no performance data or backtest results for this screen. It cautions that rising lows do not establish that a bottom is in place, and that historical signals may not predict future returns. It suggests combining the rule with other technical indicators and company fundamentals, then setting position sizes and exit rules to fit risk tolerance. The selection rule is best treated as a candidate-generation method; the document does not specify portfolio construction, entry timing, or a complete risk-management procedure.

Key ideas

• The screen combines a daily range greater than 1% with a limit-up event in the previous 25 sessions.
• It defines a rising-low condition by comparing the current low with the lowest low across 30 sessions.
• The article presents the conditions as a way to identify volatile stocks with recent strength and a possible trend change.
• It warns that rising lows and historical signals do not guarantee a lasting bottom or future gains.
• It recommends considering additional technical and fundamental information and defining position sizes and exits.

Tags

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