Chinese Stock Screen Using Range, Ten-Day Returns, and Limit-Ups

Summary

This Chinese equity screen selects stocks with daily amplitude above 1%, a positive return over ten days below 35%, and at least two limit-up sessions during the preceding 500 days. The stated rationale is to combine recent price movement that has not become extreme with evidence of past sharp advances. The document also provides example formulas and a Python outline for calculating the filters.

The author warns that speculative activity or other shocks can weaken the screen, and that stocks with large short-term moves can be especially volatile. Suggested refinements include adding technical and fundamental data and limiting individual positions. No backtest, return series, or comparison against a benchmark is given, so the proposed risk-return rationale is not demonstrated. The supplied examples may also require adaptation to the chosen data source and market conventions, particularly for identifying limit-up events and interpreting amplitude.

Key ideas

• The screen combines amplitude above 1%, a ten-day gain between 0% and 35%, and at least two limit-up sessions in 500 days.
• The filters aim to find stocks with recent gains and a history of sharp advances.
• The article warns that speculative moves and elevated volatility can cause losses.
• It suggests incorporating additional data and controlling the size of single-stock positions.
• No performance test is reported, and the data definitions require verification.

Tags

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