Shanghai-Listed Stock Screen Using Range and Recent Limit-Ups

Summary

The article describes a stock-selection screen for securities whose codes begin with 60. It combines an intraday range above one percent of the previous close with at least two limit-up events during a rolling 500-day lookback. The supplied references show how the conditions might be expressed in a market indicator formula and Python-style data processing, including a date cutoff for the lookback period.

The rationale is that a wide range signals volatility and repeated limit-ups may reflect market attention. The article provides no historical returns, comparison group, or evidence that these characteristics predict future gains. It notes that a large range does not imply favorable performance and that focusing on limit-ups can overlook other measures of activity. The example code also describes a rolling price-ratio condition, so implementation details and market-specific limit rules would need scrutiny before treating it as an accurate count of limit-up sessions.

Key ideas

• The screen targets stocks with codes beginning with 60.
• It requires an intraday range above one percent of the prior close.
• It also requires at least two limit-up events over a 500-day lookback.
• The stated rationale is volatility and market attention, but no returns evidence is provided.
• Implementation should account for market-specific limit rules and verify the event-count logic.

Tags

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