Screening Stocks by Daily Range, Prior Limit-Ups, and Float Value

Summary

This daily stock screen selects shares with an amplitude above 1, at least two limit-up events over the previous 500 days, and floating market capitalization above 10 billion yuan. The document frames amplitude and limit-up frequency as measures of price movement and market attention, while float value is used as a rough indicator of company scale and market participation. It includes formula references and sample code for computing the filters.

The post does not provide a backtest, return statistics, or evidence that these conditions produce an advantage. It cautions that strict criteria may leave a small and potentially biased set of stocks, and that float value alone does not capture ownership or company fundamentals. Suggested extensions include earnings and management-related variables, as well as quantitative or machine-learning analysis. The formula examples and code are presented as implementation references; details such as market-specific limit rules and the construction of float value would need careful validation before use.

Key ideas

• The screen combines daily price amplitude, a 500-day count of limit-up events, and a floating-market-value floor.
• The stated rationale links range and limit-up history to volatility and market attention.
• The document warns that strict filters may produce a small, biased selection.
• It does not report empirical strategy results or a backtest.
• Fundamental variables and careful validation are proposed as possible improvements.

Tags

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