Chinese Stock Screening with Range, Reversal, and Limit-Up Filters

Summary

This note describes a Chinese equity screen combining daily range, a reversal or engulfing-style pattern, and exclusion of stocks that hit the upper price limit on the prior day. The refined rule checks for a reversal within the recent three trading days. It presents indicator and Python implementation approaches, using price highs and lows, close changes, limit-up counts, and a candlestick-pattern signal.

The rationale is that larger ranges may identify active stocks and reversal patterns may indicate a turn, while excluding recent limit-up stocks may avoid selecting shares after sharp gains. The author cautions that the screen ignores fundamentals, remains exposed to broad market weakness, and can misclassify reversal patterns. Suggested improvements include adding a market-level filter and evaluating the pattern’s historical accuracy and false-signal rate. No validation results are supplied, and the described signals should not be treated as evidence of profitability.

Key ideas

• The screen combines a range threshold, a recent reversal pattern, and exclusion of prior-day limit-up stocks.
• The document offers both indicator-formula and Python examples for implementing the filters.
• The author identifies market weakness and false reversal signals as important risks.
• Market-level conditions and historical pattern accuracy are proposed as possible refinements.

Tags

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