Selecting Chinese A-Shares by Intraday Range and Recent Limit-Ups

Summary

The article describes a stock-selection screen for Chinese A-shares. It selects stocks with a daily high-low range above one percent, at least one limit-up day during the preceding 25 trading days, and excludes Beijing-listed shares. The rationale offered is that a larger range may indicate volatility and a recent limit-up may reflect market interest; these are presented as screening intuitions rather than tested findings.

It provides example indicator and Python implementations, and suggests adding technical and fundamental analysis while considering transaction costs and risk. However, the examples do not establish predictive value or report backtest results. There is also a discrepancy: the prose says to exclude Beijing shares, while the Python conditions exclude certain Shanghai and Shenzhen board prefixes instead. That difference needs resolution before using the screen.

Key ideas

• The screen combines a daily range above one percent with a limit-up event in the previous 25 trading days.
• The stated universe excludes Beijing-listed A-shares.
• The article offers indicator and Python examples but reports no performance evidence.
• The Python example excludes specified Shanghai and Shenzhen prefixes, which does not match the stated Beijing exclusion.

Tags

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