Screening Shanghai-Listed Stocks by Daily Range and Prior Limit Status

Summary

This stock-selection rule screens for shares with codes beginning with 60, a daily high-to-low range greater than 1% of the previous close, and no prior-day limit-up close. The post explains the range condition as a way to find more volatile shares, while excluding a recent limit-up is intended to avoid chasing stocks already at elevated levels. It includes example formula and Python implementations of the three filters.

The post warns that a large range does not imply a favorable trend and that focusing on one code prefix excludes stocks elsewhere. It also cautions that frequent changes can overfit the selection rule, and suggests combining it with technical, fundamental, and risk controls. No backtest, return series, benchmark, or out-of-sample evidence is reported. The provided examples use a fixed limit-price multiplier and date handling that may require adjustment for market rules, security type, and the intended selection date, so the screen should not be treated as a validated strategy.

Key ideas

• The screen combines a daily range threshold, a 60-prefixed stock code, and a prior-day limit-up exclusion.
• The stated rationale is to find volatile shares while avoiding recent limit-up names.
• The post recommends combining the screen with other market and company measures.
• No backtest or evidence of profitability is provided, and the examples may need market-specific adjustment.

Tags

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