A Chinese Stock Screen Combining Volatility, Recent Limit-Ups, and Revenue Growth

Summary

The document describes a Chinese A-share watchlist screen using three conditions: daily price amplitude above 1%, at least one limit-up event in a recent lookback period, and revenue in 2021 more than 1.1 times revenue in 2018. It provides example indicator and Python implementations, then suggests ranking qualifying names by net trading volume. The rationale is that larger price swings and prior limit-ups may signal stronger price action, while multi-year revenue growth can indicate business expansion.

The author cautions that revenue alone can overlook other fundamental and technical factors, and that fast-growing revenue may accompany inflated valuations or elevated risk. Suggested refinements include adding profit growth, gross margin, and other indicators. The examples contain implementation inconsistencies, including different recent-period lengths and revenue fields, so the stated screen should be checked against the intended data definitions before use. No backtest results or evidence of predictive performance are reported.

Key ideas

• The screen combines price amplitude, a recent limit-up occurrence, and multi-year revenue growth.
• The stated fundamental threshold is 2021 revenue divided by 2018 revenue above 1.1.
• The document offers example implementations and proposes ranking selected stocks by net volume.
• Revenue growth alone may miss other company and market characteristics and can expose investors to valuation risk.
• The example snippets differ in their lookback details and data handling, so their behavior may not exactly match the prose.

Tags

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