Screening Stocks for Range, Price, and Recent Limit-Up Momentum

Summary

The document proposes a Chinese equity screen combining a daily trading range above one percent, a closing price of 18.5 yuan, and a recent three-session limit-up pattern. It frames the price and streak as signs of market attention and short-term upward momentum, while the range condition selects more volatile shares. It offers formula and Python examples and suggests sorting candidates by trading value.

The article cautions that the screen focuses heavily on recent price action and may select overvalued stocks. It warns against investing the full portfolio in the resulting names and suggests adding financial, technical, and business-quality measures, along with diversification and position adjustments. No backtest, defined holding period, benchmark, or performance evidence is provided. The sample implementation also leaves important details ambiguous, including how it verifies the prior streak, so the rules need careful validation before use.

Key ideas

• The proposed screen combines a range threshold, a fixed closing price, and a recent limit-up streak.
• The author interprets the streak as momentum and attention, and the range as a volatility filter.
• The document recommends supplementing price conditions with financial, technical, and fundamental analysis.
• It warns that concentrated positions in short-term momentum names can carry substantial risk.
• No empirical performance test is provided, and the example code requires validation.

Tags

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