A Chinese Stock Screen Combining Amplitude, Limit-Up Pattern, and Turnover

Summary

This post describes a Chinese equity screening rule that combines price movement, stock status, a five-session limit-up approach, and prior-day trading value. It selects stocks with amplitude above 1, excludes ST-designated stocks, applies the named five-part limit-up method, and requires previous-day turnover above 60 million. The post argues that higher turnover may indicate greater activity and market participation, while the price and pattern filters aim to find stocks with upward movement.

It provides a Python example that calculates a range-based amplitude, filters names containing ST, checks whether the close equals a rolling five-session maximum, and applies the turnover threshold. No backtest, performance figures, or detailed definition of the five-part method is supplied, so the strategy's effectiveness cannot be assessed from this post. The author notes that turnover does not measure company fundamentals, can vary with market conditions, and that simple filters may miss other relevant characteristics. The suggested improvements include adding broader information and revisiting parameters, but these are not evaluated.

Key ideas

• The screen requires amplitude above 1 and excludes stocks designated ST.
• It adds a five-session limit-up pattern and a prior-day turnover threshold above 60 million.
• The post treats high turnover as a rough sign of trading activity, not a measure of business quality.
• It provides no performance evidence or precise explanation of the named limit-up method.

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