Screening for High-Range Stocks With Recent Limit-Size Gains

Summary

This document describes a Chinese equity screen requiring a sizable trading range, at least one daily gain of 10% or more during the recent 25-session window, and exclusion of Beijing-listed A shares. The idea combines a volatility condition with evidence of recent strong price momentum. The formula example adds a volume ranking, while the Python example sketches rolling-window detection and regional filtering.

The article cautions that the screen omits company fundamentals, industry characteristics, broader market conditions, and macroeconomic factors. It also raises the possibility of overfitting and recommends broader data and validation. No backtest or performance evidence is presented. There are discrepancies between the stated rule and examples: the formula compares the day’s range with ATR, and the Python sample’s momentum condition appears to test the current bar separately from its rolling calculation. These details would need to be resolved before implementation.

Key ideas

• The screen combines a large price range with at least one recent daily gain of 10% or more.
• It excludes Beijing-listed A shares from the candidate universe.
• The examples add volume ranking and sketch a rolling-window momentum condition.
• The document warns that fundamentals, industry context, market conditions, and overfitting are not addressed.
• No backtest is given, and the examples do not align cleanly with the stated screening rule.

Tags

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