Designing a Multi-Condition A-Share Limit-Up Trading Strategy in vn.py
Summary
This note develops a proposed A-share strategy for vn.py around two prior-day setups: a first limit-up close after two days without a limit-up, or a session that touched the limit price but did not close there. Candidates are further filtered by turnover value, circulating market value, recent returns, and average price movement. On the next session, the plan checks auction price relative to the prior close and auction volume relative to the previous day before entering. Exit rules describe selling profitable positions that have not remained limit-up before late morning, then using a five day moving average near the close.
The document focuses heavily on implementation challenges, including multi-symbol data handling, historical screening, auction data, time-based actions, and varying limit rules across stock types. It offers a code sketch, but several required fields and methods are placeholders or inconsistent, and the example does not establish that the logic runs in vn.py. No backtest results are supplied. The author stresses adapting the data interface, validating limit calculations, and adding risk controls before use.
Key ideas
- The proposed strategy screens for first limit-up closes or prior sessions that touched but failed to hold the limit price.
- Additional filters cover turnover value, circulating market value, recent returns, and average price movement.
- Auction price and volume are used to validate candidates before next-session entry.
- Exit logic uses time conditions, floating profit, limit-up status, and a five day moving average.
- The code is an incomplete sketch requiring data, multi-symbol, limit-rule, and order handling work.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.