Chinese Stock Screening by Daily Range, Float Size, and Prior Limit-Ups

Summary

This Chinese equity screen selects stocks with an amplitude above 1, circulating market capitalization above 10 billion yuan, and no limit-up on the previous day. The stated rationale is to combine a volatility threshold with company size while excluding stocks that may be attracting short-term speculative attention. It also references excluding names containing an ST designation.

The document explains the filters and gives example formulas and a Python-style implementation, but the examples are not fully consistent: the code’s range calculation uses a multi-day high-to-low ratio, and its limit-up check appears to query the current date. No performance results or backtest evidence are provided. The author notes that excluding prior-day limit-ups may miss stocks with positive catalysts, and that the screen omits fundamental measures. Suggested additions include valuation and profitability measures alongside other technical indicators, though these are not tested.

Key ideas

• The screen requires amplitude above 1 and circulating market capitalization above 10 billion yuan.
• It excludes stocks that reached the daily upper price limit on the previous day.
• The stated aim is to find volatile, larger stocks while avoiding some short-term speculative names.
• The examples do not consistently implement the stated one-day amplitude and prior-day limit-up rules.
• The document provides no evidence that the screen produces positive returns.

Tags

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