Chinese Stock Screen Using Range, Limit-Up History, and Volume Flow

Summary

This proposed Chinese equity screen combines three conditions: daily amplitude above one percent, at least two limit-up events over the prior 500 days, and a positive product of price change and a large-order net-volume measure. The post frames that combined signal as a way to focus on active stocks with notable historical price moves and current trading interest. It also sketches indicator formulas and a sample data workflow, though the code and formula descriptions do not align cleanly in every detail.

The author warns that a technical-only screen can overlook fundamentals and that the net-volume measure may depend on its sampling period. Suggested refinements include adding other indicators and adjusting the volume calculation. No backtest design, performance results, transaction costs, or out-of-sample evidence are supplied, so the screen is a hypothesis for further evaluation rather than demonstrated trading edge.

Key ideas

• The screen selects stocks with daily amplitude above one percent and at least two limit-up events in 500 days.
• It also requires a positive relationship between price change and large-order net volume.
• The post proposes combining technical filters but does not provide credible performance evidence.
• The author notes that fundamental factors and volume-measure timing can affect the screen’s usefulness.
• Further screening and risk controls are advised before practical use.

Tags

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