A Chinese Stock Screen Combining Price Strength and Prior Turnover

Summary

This Chinese-language post describes an intraday screen for mainland shares. Its stated conditions include price amplitude above one, excluding stocks marked ST, running the selection before 10 a.m., applying a five-part limit-up method, and requiring prior-day turnover above 8%. The accompanying Python example approximates these filters with a rolling five-session closing-high condition and a volume-to-previous-volume ratio threshold. The screen is intended to identify active stocks with strong recent price behavior.

The post gives no backtest, trade list, or return evidence. It cautions that high turnover can reflect short-lived speculation prompted by news rather than company quality, and suggests combining technical and fundamental checks. There is also a gap between the written rule and example: the prose specifies prior-day turnover above 8%, while the code compares volume with prior volume and requires a ratio above 1.08. The five-part limit-up label is not fully explained, so the rule cannot be reproduced unambiguously from the post alone.

Key ideas

• The screen combines an amplitude threshold, ST-stock exclusion, an early-morning selection time, a five-session price condition, and prior-day turnover.
• The code represents the five-part method as a close equal to the rolling five-session maximum.
• The stated prior-day turnover filter differs from the code’s volume-to-previous-volume ratio test.
• The author warns that elevated turnover may reflect temporary speculation and recommends broader analysis.
• The post reports no performance evidence, and it does not fully define the five-part method.

Tags

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