Screening Chinese Stocks for Wide Range, Rising Averages, and Limit-Ups

Summary

The document presents a Chinese stock screening rule that combines a daily amplitude threshold, an upward moving-average condition, and more than two limit-up sessions during the prior ten days. The moving-average test compares the latest close with recent five-day averages, while the limit-up count is intended to identify stocks that have drawn strong buying interest. An example implementation also filters by market and market capitalization.

The rationale mixes price-trend signals with a sentiment proxy: a wider trading range and rising prices suggest strength, while repeated limit-ups indicate market attention. The document warns that limit-up counts can lag and can be distorted by expectations or individual events. It suggests adding capital-flow and broader market-risk measures, but supplies no backtest, benchmark, or evidence that the screen produces favorable returns. The formula and example are references; implementation details and market conditions may affect results.

Key ideas

• The screen requires amplitude above a threshold, a rising moving-average condition, and multiple limit-up days within ten sessions.
• The moving-average and amplitude criteria are used as technical indicators of price strength.
• Recent limit-up frequency serves as a proxy for market enthusiasm.
• The document identifies lag and event-driven distortion as limitations of the sentiment filter.
• It provides no performance validation for the screening rule.

Tags

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