Screening Stocks by Daily Range, Recent Leaderboard Activity, and Limit-Ups

Summary

This document proposes screening Chinese stocks for a daily price range above 1%, an appearance on the prior day’s trading leaderboard, and at least two limit-up events within the previous 500 days. It interprets range as a sign of short-term volatility, leaderboard inclusion as possible evidence of active trading interest, and repeated limit-ups as a marker of market attention. The conditions are combined as a candidate-selection filter, with an example of sorting the resulting stocks by closing price.

The post supplies formula and Python-style illustrations but no backtest results or evidence that the selected stocks subsequently outperform. Its own caveats are that simulated returns may differ from live results, results may depend on market and time period, and the method relies heavily on short-term sentiment. It suggests adding valuation or other fundamentals, examining leaderboard flows, and using further technical indicators. The provided examples warrant careful verification: the limit-up proxy based on matching high prices across adjacent observations may not reliably count actual limit-up sessions.

Key ideas

• The proposed screen combines a daily range threshold, prior-day leaderboard appearance, and repeated limit-up activity.
• The author treats these conditions as signs of volatility and short-term market attention.
• No performance results are supplied, and the post warns about live-trading and regime differences.
• The code examples use simplified proxies that may not faithfully measure the stated events.
• Fundamental data, flow analysis, and additional indicators are suggested as possible refinements.

Tags

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