Screening Shanghai-Listed Stocks by Range, Recent Limit-Ups, and Flow

Summary

This stock-selection note proposes screening Chinese equities whose codes begin with 60, whose daily high-low range exceeds 1%, and that did not reach the daily price limit on the previous session. The rationale is to seek active stocks while avoiding immediate continuation after a limit-up day. Its examples add further conditions: recent positive returns and positive order imbalance across rolling windows, followed by sorting on order imbalance. The indicator example also applies repeated range checks over 22- and 60-session periods, so the implementation is more restrictive than the short verbal description.

The article gives no backtest or return evidence. It recognizes that a high range can bring greater volatility and that excluding prior limit-up stocks may discard valid opportunities. The supplied examples use differing filters and time windows, and the note does not define execution rules, position sizing, or how results should be evaluated. It recommends combining price behavior with fundamental or technical inputs rather than relying only on past market movement.

Key ideas

• The core screen requires a stock code beginning with 60 and a daily high-low range above 1%.
• It excludes stocks that hit the daily upper price limit in the previous session.
• The code examples add rolling return and order-imbalance filters that are not fully captured by the basic description.
• The article flags higher volatility and missed opportunities as risks and offers no performance test.

Tags

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