Chinese Stock Screening with Intraday Range, Yesterday’s Broker List, and Limit-Up Exclusion

Summary

This Chinese equity screening rule combines three conditions: the prior session’s high-low range must exceed 1% of its previous close, the stock must have appeared on the previous day’s trading activity list, and it must not have closed at the 10% daily limit-up threshold. The document frames a large range and list appearance as signs of activity or market attention, while excluding limit-up stocks is intended to avoid some short-term speculative risk. It includes example indicator and Python snippets that illustrate the filters and their intersection.

The post offers no performance results or backtest evidence. It cautions that the conditions are narrow, may overlook other relevant information, and that excluding limit-up stocks can also remove promising candidates. It suggests considering fund-flow trends or turnover and periodically revisiting the rules. The examples use a fixed sample date and a 10% limit assumption, so their applicability may depend on market conventions and implementation details.

Key ideas

• The screen selects stocks with a prior-session range above 1% of the previous close.
• It also requires a prior-day appearance on the trading activity list.
• Stocks reaching the stated 10% limit-up threshold the previous day are excluded.
• The post provides no measured performance and warns that the filters are incomplete.
• It suggests adding other indicators and updating the conditions as markets change.

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