Chinese Stock Screening with Five-Day Highs and Daily Return Limits

Summary

This Chinese stock screen combines an intraday amplitude threshold, exclusion of special-treatment shares, a five-day closing-price high condition, and a bounded same-day return. It is intended for selection before 10 a.m., though the stated rules also refer to the day’s gain, so the document does not explain how that value is available at the screening time. The article gives a formula and a Python example to illustrate the filters.

The rationale centers on recent price action and stock activity. It warns that the approach relies heavily on short-term patterns and omits company financial and operating conditions. The article suggests adding industry, financial, volume, and moving-average information, and recommends careful analysis and position control. No performance results or backtest evidence are provided, and the strategy’s “five-part limit-up” label is not fully explained by the code shown.

Key ideas

• The screen excludes ST shares and requires amplitude above 1 and a same-day return between -5% and 2.6%.
• It selects stocks whose close matches the maximum close over a five-session window.
• The article supplies formula and Python examples, but does not report backtest results.
• The method emphasizes short-term price behavior and leaves fundamentals largely unexamined.
• The article recommends adding further filters and managing position size carefully.

Tags

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