Chinese Stock Screening with Intraday Timing and Limit-Up Filters

Summary

The document describes a Chinese equity screening approach that selects non-ST stocks with daily amplitude above 1%, a positive but below 35% return over ten days, and a pattern based on repeated limit-up moves. It also restricts selection to before 10:00. The accompanying Python example approximates these conditions using price data, rolling comparisons, stock-name filtering, and a time cutoff.

The rationale offered is that moderate recent gains and meaningful movement may identify active stocks without selecting the most extended names, while the limit-up pattern is intended to find continuing rebounds. The author warns that the screen omits fundamentals and that the pattern is widely used, so it may be risky. Suggested refinements include adding valuation measures and adjusting for market conditions and sector rotation. No backtest results, performance evidence, detailed execution rules, or validation of the sample code are provided; the described rationale should therefore be treated as a hypothesis rather than demonstrated edge.

Key ideas

• The screen combines amplitude, ten-day return, non-ST status, and a repeated limit-up pattern.
• Stock selection is restricted to before 10:00.
• The rationale is to find active stocks with positive but not excessive recent gains.
• The document flags missing fundamental analysis and possible crowding in the limit-up pattern.
• It suggests considering valuation, broader market conditions, and sector rotation.

Tags

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