Chinese Stock Screen Using Price Range and Recent Limit-Up Frequency

Summary

This stock screen selects Shanghai-listed shares whose daily high-low range exceeds a threshold and that have reached the daily price limit at least twice over a recent 500-trading-day window. It combines a measure of price movement with repeated limit-up events, treating both as signs of strong market activity. The document also gives indicative formulas and a sample workflow for applying the filters to market data.

The post offers no backtest, performance statistics, or validation showing that the selection rules predict future returns. It acknowledges that macro conditions, broad market volatility, and company-specific events can affect results, and that the code-prefix restriction excludes other potentially attractive shares. It suggests adding technical and fundamental measures, such as moving averages or company profitability, but does not define or test an integrated strategy. The screen is therefore a preliminary candidate-generation rule, with important data and implementation details left open.

Key ideas

• The screen combines a price-range threshold with a minimum count of limit-up events over 500 trading days.
• It restricts candidates to stocks whose codes begin with 60, narrowing coverage to a segment of the Chinese market.
• The document frames price range and limit-up frequency as signs of market activity, without demonstrating predictive value.
• It recommends combining the screen with technical and fundamental analysis and adjusting it to market conditions.

Tags

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