A-Share Price Limits and ST Stocks: Why a Stop-Loss Fails at Limit-Down, and How Backtests Should Handle It

China's A-shares have a daily price limit: 10% on the Shanghai and Shenzhen main boards, 20% on ChiNext and the STAR Market. Main-board ST and *ST stocks used to be limited to 5%; from 6 July 2026 they are 10% too. The limit is not a problem in itself, but it breaks two things. On a locked limit-down day, sell orders queue and mostly do not fill, however clearly your stop is written. And a backtest that fills at the next open without handling limits buys stocks nobody could buy and sells at prices nobody could sell at. This guide walks through both with a real limit-down example, and shows how to leave room for them in your rules and your position size.

Key takeaways

• Daily limits: 10% on the Shanghai and Shenzhen main boards, 20% on ChiNext and STAR. New listings have no limit on their first day (main board) or first five days (ChiNext, STAR).
• Main-board ST and *ST stocks moved from a 5% to a 10% limit on 6 July 2026, on both exchanges.
• Limit-up and limit-down prices = previous close × (1 ± limit), rounded to the cent.
• On a locked limit-down day (open, high, low and close all at the limit), sell orders queue by time and mostly do not fill. In the real example below, a −7% stop could first be executed at about −27%.
• No stop rule removes limit-down risk. Only position size can: leave room for consecutive limit-downs in your per-stock cap and per-trade risk.

What the limits are

The limit prices come from the previous close: a main-board stock that closed at CNY 10.00 can trade between 9.00 and 11.00 the next day; a ChiNext stock at the same price, between 8.00 and 12.00. Results are rounded to CNY 0.01.

The 2026 ST change

The Shanghai Stock Exchange published revised trading rules on 24 April 2026, Shenzhen revised its rules in step, and both took effect on 6 July 2026. One change: the daily limit for main-board risk-warning stocks (ST, *ST) went from 5% to 10%, the same as other main-board stocks.

If you hold or backtest ST stocks, that means two things:

1. The worst single day doubled. One limit-down used to be −5% and is now −10%. Three in a row used to be about −14% and are now about −27%.
2. A backtest across 6 July has two regimes. Bars before 6 July hit their limits at 5%, bars after at 10%. One ratio for the whole period either mistakes an ordinary old fill for a limit move or treats a present-day limit-down as tradeable.

ST stocks on ChiNext and STAR are unaffected; they were already at 20%.

A real limit-down example

Below are a few daily bars of 002131.SZ, a Shenzhen main-board stock, in January 2026 (Stock Compass market data, adjusted prices). From 16 to 20 January it is the only A-share in the data with no trades while every other one traded, which points to a trading halt.

On the two locked days, volume was 1.3%–1.5% of 15 January's: plenty of sellers in the queue, very few buyers at the limit price.

Say you held at the 15 January close of 10.366 with a stop at −7% (about 9.64):

• 21 January opens through your stop, but locked at the limit; your sell order joins the queue and most of the queue does not fill.
• 22 January, the same.
• 23 January opens at 7.556, the first price at which selling works more or less normally: −27.1% from 10.366.

The stop said −7%; the loss came close to four times that. That is not a failure of discipline. All you could do on those days was queue.

Price limits in a backtest

Daily-bar backtests usually assume "signal today, fill at tomorrow's open." Without price limits, that assumption is wrong in two cases:

• Tomorrow opens locked limit-up: the backtest "buys" at the open; in reality buy orders queue and mostly do not fill. Those stocks often keep rising, so the backtest looks better than reality.
• Tomorrow opens locked limit-down: the backtest "sells" at the open; in reality you cannot sell until the limit opens. The backtest's losses are too small.

Both errors flatter the backtest. An A-share backtest should at least not buy at a limit-up open, not sell at a limit-down open but try again the next day, and not trade on a halted day.

Use position size to leave room for limit-downs

A stop decides how much you lose in normal conditions. It cannot handle gaps and consecutive limit-downs. Position size can:

1. A per-stock cap. Three limit-downs in a row are about −27% on the main board and about −49% on ChiNext or STAR. At 15% of capital in one stock, three limit-downs cost about 4% of capital; at 40%, about 11%.
2. Include a limit-down in the per-trade risk. After sizing a main-board stock on a −7% stop, ask: if the stop is hit on a locked limit-down day and I can only sell the day after, is the loss still acceptable?
3. ST stocks, earnings-warning season and halts for major events carry a much higher chance of limit-downs; take a notch less risk per trade there.

Position sizing and risk per trade has the full formula; the stop-loss you can't execute covers the other way a stop fails: when you could sell and did not.

In Stock Compass

Stock Compass does not connect to a broker or place orders; it turns your rules into a daily scan and alerts. Price limits matter in two places:

1. Backtests fill at the next day's open and apply China's limits: a buy does not fill when that open is at limit-up (the signal is dropped), a sell does not fill when it is at limit-down (it tries again on the next day the rule still fires), and nothing fills on a halted day. The results say "N orders unfilled: price limit or no trading." The limit is 10% or 20% by board; main-board ST stocks use 5% before 6 July 2026 and 10% after. Whether a stock is ST is read from its current name, so one that has since shed its ST tag counts as not ST throughout.
2. Exit signals are scanned and sent after the close as usual. The signal tells you your rule has fired; whether you can sell at a limit-down price depends on the next day's order book, which Stock Compass cannot help with.

A-share price history goes back about two years (from September 2024), so a backtest covers both sides of 6 July 2026.

Common mistakes

• Believing a stop order guarantees its price. On a locked limit-down day, a stop order is one more sell order in the queue.
• Treating ST limit-downs as 5%. Since 6 July 2026 main-board ST stocks move up to 10% a day; the worst single day has doubled.
• Backtesting without price limits. Buying limit-up stocks nobody could buy and selling at limit-down prices nobody could get makes results systematically too good.
• One ratio for ST stocks across 6 July. The rules before and after differ.
• Sizing from the stop distance alone. The stop covers the normal case; the size has to survive consecutive limit-downs.

Summary

A-share daily limits are 10% on the main boards and 20% on ChiNext and STAR, and main-board ST stocks are at 10% from 6 July 2026. Limits can make a stop fail exactly when it matters, and they make a backtest that ignores them systematically optimistic. Three things help: a backtest that applies limits and halts, a position size with room for consecutive limit-downs, and less risk per trade on ST stocks and around events.

Sources

The outside facts this article relies on, as checked on 13 November 2026. Daily bars are adjusted prices from Stock Compass's market data.

• Xinhua: A-share trading rule changes take effect (6 July 2026; main-board risk-warning stocks' limit from 5% to 10%; in Chinese)
• SSE: trading mechanism (main board 10%, STAR 20%, days without a limit for new listings; this page still gives 5% for risk-warning stocks and has not been updated for the 2026 revision)
• SZSE investor education: price limits in a new listing's first five trading days (in Chinese)
• SZSE: ChiNext price limit of 20% (in Chinese)