Screening Chinese Stocks by Range, Ten-Day Return, and Recent Limit-Ups

Summary

This post describes a Chinese equity screening rule using three conditions: daily high-low range above 1% of the prior close, a positive but less than 35% return over ten days, and at least one limit-up event during the prior 25 days. The stated rationale is to seek stocks with noticeable movement and recent market attention while excluding names whose recent gains exceed the chosen cap. It also provides indicator and Python examples, including a moving-average proximity filter in the Python version.

The post offers a screening heuristic, not a tested trading system. It reports no backtest, benchmark comparison, transaction costs, or evidence that prior limit-ups predict subsequent gains. The code and prose also differ in implementation details, so the exact rule may depend on which example is followed. The author notes the risks of relying on a small set of conditions and suggests combining signals and diversifying. The thresholds are specific to this proposal and are not shown to generalize across stocks or market regimes.

Key ideas

• The screen requires a daily range greater than 1% relative to the previous close.
• It selects stocks with positive ten-day returns below 35% and a limit-up event within 25 days.
• The rationale treats recent volatility and limit-up activity as signs of movement and market attention.
• The post supplies example implementations, but some details differ between its descriptions and code.
• No performance test is reported, and the post cautions against relying on these filters alone.

Tags

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