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

Summary

This stock screen combines three conditions: daily price range above 1%, closing price below 20, and more than two limit-up sessions in the preceding ten days. The document provides example implementations in a Chinese stock analysis formula language and Python, then suggests extending the screen with money flow, price-volume measures, market and industry context, and company fundamentals. It also recommends controlling risk, though it does not specify a risk model or position sizing method.

The rationale is that recent limit-up frequency may capture market interest alongside price behavior. No historical test, returns, benchmark, or transaction cost analysis is supplied, so the screen is a heuristic rather than evidence of an effective strategy. The examples also appear to calculate some conditions differently: the range denominator differs, and the Python limit-up proxy is not explicitly tied to the exchange’s official limit price. These implementation details need validation against the intended market data and trading rules before results can be interpreted.

Key ideas

• The screen selects stocks using price range, a price ceiling, and recent limit-up frequency.
• Its stated limit-up condition requires more than two occurrences over ten days.
• The document proposes adding price-volume, market, industry, and fundamental information.
• It provides no backtest or evidence that the screen predicts returns.
• The sample implementations may operationalize the conditions differently and require validation.

Tags

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