Stock Screen for Wide Ranges, Non-Limit-Up Prior Day, and Two-Day Highs

Summary

This Chinese equity-screening note combines three price conditions: a daily range above a stated threshold, no limit-up close on the previous trading day, and a current high equal to the highest high across two days. The proposed rationale is that wide price movement paired with a fresh short-term high may indicate upward potential. The document includes a Tushare example that checks recent limit status and price data, then collects candidates.

The author cautions that price-only selection ignores broader market conditions and company fundamentals, so the resulting list may contain low-quality stocks. Suggested improvements include incorporating market and industry context or weighting candidates using additional criteria. No backtest, return series, or evidence of predictive performance is supplied, and the example implementation does not clearly demonstrate the stated current-day range condition. The screen should therefore be understood as a proposed filter rather than a validated strategy.

Key ideas

• The proposed screen uses a price-range threshold, prior-day limit-up status, and a two-day high comparison.
• The note interprets a new short-term high amid wide movement as a possible sign of upside.
• Price-only rules can overlook fundamentals and general market conditions.
• The author suggests adding market and industry filters or assigning weights to candidates.
• The document presents no performance evidence for the screen.

Tags

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