Stock Screening with Relative Range, Bollinger Bands, and Limit-Up Frequency

Summary

This post outlines a Chinese equity screening rule combining unusually large daily range, a close between the middle and upper Bollinger bands, and more than two limit-up sessions within ten days. It presents the screen as a way to identify volatile stocks with recent strong price action, and supplies both a formula-style expression and a Python example using historical stock data. The Python sketch also excludes stocks marked as special treatment and those below a stated market-value threshold.

The accompanying discussion warns that recent limit-up activity may reflect speculative enthusiasm, that such stocks can subsequently fall, and that the screen alone is not a sufficient basis for investment. It recommends adding other filters, adjusting criteria to market conditions, and managing capital exposure. The examples are references rather than validated research: the post gives no backtest results, transaction-cost treatment, data-quality checks, or out-of-sample evidence, and the implementations may not match exactly in their Bollinger or limit-up calculations.

Key ideas

• The screen requires elevated range, a close within the middle-to-upper Bollinger region, and repeated limit-up days.
• The post provides formula and Python examples for applying the criteria to Chinese stocks.
• Recent limit-up frequency can signal momentum while also exposing a screen to reversal risk.
• The author recommends supplemental filters and capital management.
• No evidence of historical or out-of-sample profitability is provided.

Tags

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