Screening Chinese A-Shares by Daily Range and Recent Limit-Up Moves

Summary

The screen selects Chinese A-shares whose daily high-low range exceeds one percent, excludes Beijing-listed stocks, and requires at least one limit-up event in the prior month. The accompanying explanation interprets range as a measure of activity and a recent limit-up as evidence of strong short-term price action. A sample implementation filters stock data on these conditions and ranks qualifying names by circulating market value. The article also proposes broadening the screen with liquidity size, fundamentals, valuation, and industry or cycle context, and mentions a longer lookback variant.

This is a rule description, not a tested strategy: no portfolio returns, benchmark, transaction costs, or risk-adjusted results are reported. The text warns that recent price strength can select volatile, high-risk shares and that a price-only screen may miss fundamental deterioration. The range threshold and lookback definitions also need precise implementation and out-of-sample evaluation before the screen can support investment conclusions.

Key ideas

• The initial screen requires a daily high-low range above one percent and excludes Beijing A-shares.
• A qualifying stock must also have recorded a limit-up move during the previous month.
• The example ranks qualifying shares by circulating market value after applying the filters.
• The article suggests adding fundamentals, valuation, market capitalization, and industry context.
• The screen has no reported performance evidence and may concentrate exposure in volatile stocks.

Tags

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