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

Summary

This stock selection rule screens for Shanghai-listed shares whose daily trading range exceeds one percent and that did not close at the daily limit-up on the prior session. The document frames the range condition as a way to find more volatile candidates and the prior-session exclusion as a way to avoid stocks that may be unstable after a sharp rise. It also suggests adding valuation, technical, industry, and macroeconomic checks before making investment decisions.

The post includes a Python example that filters securities whose codes begin with the Shanghai prefix, then checks recent daily data for a nonzero percentage change and a range relative to the prior close. It provides no backtest, return statistics, benchmark comparison, or evidence that the screen identifies growth stocks. The code’s selection criteria do not fully align with the written description, and the rule omits fundamentals and other risk factors, so it is best treated as an initial screen rather than a complete strategy.

Key ideas

• The screen selects Shanghai-listed stocks with a daily range above one percent.
• It excludes stocks that hit the limit-up price on the previous session.
• The author proposes adding valuation and technical measures for further filtering.
• The example code does not provide performance evidence and differs from parts of the stated rule.

Tags

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