Screening Chinese Stocks by Range, Capitalization, and Recent Limit-Ups

Summary

This Chinese stock screen combines an amplitude threshold, circulating market capitalization above 10 billion yuan, and at least one limit-up event within roughly the past month. The article interprets these filters as a mix of volatility, company size, and recent market sentiment. It provides example formulas and Python-style data retrieval steps for identifying candidates.

The author warns that emphasizing recent limit-up behavior can overlook fundamentals and longer-term trends, and may leave the screen stale as market conditions change. The article suggests adding valuation, profitability, turnover, and technical measures, but supplies no backtest or evidence that these additions improve performance. There is also a material mismatch in the examples: the formula includes a stock-name condition associated with ST shares even though the stated screen does not, and the sample code’s range calculation differs from a conventional daily amplitude calculation. Verify the intended definitions and exclusions before using the rules; the article presents a screening idea rather than a validated strategy.

Key ideas

• The screen requires amplitude above its threshold, circulating market capitalization above 10 billion yuan, and a recent limit-up event.
• The proposed rationale combines volatility, company size, and market sentiment.
• The author cautions that the screen neglects fundamentals and longer-term trends.
• Suggested additions include valuation, profitability, turnover, and technical indicators.
• The examples contain mismatches in the ST condition and range calculation, and no performance evidence is reported.

Tags

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