Chinese Stock Screening with Recent Limit-Up Activity and Trend Filters

Summary

This note describes a Chinese A-share screening idea that selects stocks with a daily price range above 1%, at least one limit-up event in the past month, and more than two limit-up days in the past ten days. It presents this as a way to find recent market leaders and capture attention around active themes. A refined version adds a 20-day moving average above the 120-day moving average and a price-to-earnings ratio below 30. The accompanying example sorts qualifying stocks by heat ranking and illustrates retrieving historical data for a selected universe.

The note warns that limit-up activity is partly random and may signal sentiment rather than durable business strength. Strict filters can yield few names and concentrated exposure, while the screen does not initially account for fundamentals. It suggests adding valuation or other company data, allowing for looser thresholds, and examining historical stock and industry behavior. No performance results or backtest evidence are provided, and the sample query code does not establish that the conditions produce reliable returns.

Key ideas

• The initial screen requires a daily amplitude above 1%, a limit-up event within the past month, and more than two limit-up days in ten days.
• The refined version adds a rising moving-average relationship and a price-to-earnings ceiling of 30.
• The example ranks qualifying stocks by a market heat measure.
• The note identifies concentration, weak fundamental coverage, and randomness in limit-up events as risks.
• It recommends combining price signals with company and industry research.

Tags

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