Chinese Stock Screen Using Early-Morning Strength and Five-Session Highs

Summary

This Chinese equity screen combines amplitude above 1, exclusion of stocks marked ST, selection before 10 a.m., a five-session closing-price high, and positive return. Its sample implementation estimates amplitude from the day’s high and low relative to the previous close, excludes names containing the ST designation, and compares the current close with a rolling five-session maximum. The document labels the five-session-high condition a limit-up method, although the code shown identifies a rolling high rather than explicitly checking official limit-up prices.

The article frames the screen as a short-term selection approach and warns that emphasizing immediate returns can leave out companies with stronger longer-term value. It recommends combining technical conditions with other indicators and fundamental factors, then adjusting criteria as needed. No backtest results, performance statistics, or validation are included, so the proposed conditions remain an unverified screening recipe rather than evidence of an effective strategy.

Key ideas

• The screen filters for amplitude above 1, non-ST status, selection before 10 a.m., a five-session closing high, and positive return.
• The sample code uses a rolling maximum to represent the stated five-session limit-up method.
• The article cautions that emphasizing short-term returns may exclude companies with longer-term value.
• It recommends adding technical and fundamental factors for broader evaluation.
• No performance evidence or validation is reported.

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