Screening Chinese Stocks by Daily Range and Prior Limit-Up

Summary

This document proposes a short-term A-share stock screen using three conditions: daily high-low amplitude above one percent, a closing price exactly at 18.5 yuan, and exclusion of stocks that hit the daily price limit the previous day. It suggests sorting qualifying names by trading value. The stated rationale is to seek volatile stocks with elevated market interest while avoiding stocks that have just experienced a limit-up move.

The article characterizes the approach as high risk and warns that short-term sentiment does not establish company quality or future value. It acknowledges possible missed or incorrect selections and recommends combining the screen with financial and technical measures, then applying position and loss controls. It supplies formula and Python examples, but the examples contain apparent inconsistencies and no backtest, sample results, or evidence that the proposed conditions predict returns. The screen is therefore a rudimentary filter, not a validated strategy.

Key ideas

• The screen requires a daily high-low range above one percent and a closing price of 18.5 yuan.
• It excludes stocks that recorded a limit-up move on the prior day.
• Trading value is proposed as the ranking measure for selected stocks.
• The article warns that volatility and short-term sentiment can produce false or missed selections.
• No backtest or performance evidence is supplied, and the sample implementations appear inconsistent.

Tags

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