Chinese Stock Screening by Price Range, Limit-Up History, and Positive Return

Summary

This document describes a daily stock screen that combines price movement, past limit-up events, and recent return. It selects stocks with an amplitude greater than 1, at least two limit-up days in the prior 500 days, and a positive return. The author interprets amplitude and limit-up frequency as signs of market attention, with positive return used as an additional indication of upward potential.

The document gives example formulas and sample Python-style screening logic, but it does not report a backtest, performance statistics, or evidence that the conditions predict future returns. It warns that volatility and limit-up counts reflect short-term sentiment, so results may deteriorate when market themes or sentiment change. High returns may also signal overvaluation or that a stock is near a peak. Suggested refinements include adding valuation and growth measures and adjusting the return threshold. The formula examples may require adaptation to data definitions and platform conventions.

Key ideas

• The screen combines daily amplitude, a 500-day count of limit-up events, and positive return.
• Amplitude and limit-up frequency are treated as proxies for market attention and sentiment.
• The document provides formula examples but no reported backtest evidence.
• Short-term sentiment can shift, and strong past returns may coincide with overvaluation or a price peak.
• Adding fundamental measures could broaden the screen beyond price behavior.

Tags

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