A Chinese Stock Screen Using Volatility, Recent Limit-Ups, and Turnover

Summary

This post describes a proposed Chinese stock screening rule. It selects shares with a daily high–low range above one percent, at least one limit-up event during the prior twenty-five trading days, and a specified recent-turnover condition. The author interprets the range as a sign of volatility, a limit-up as evidence of market interest, and turnover as a measure of trading activity. The article includes formula and Python examples intended to implement the screen, alongside suggestions to add technical indicators, examine company fundamentals, and diversify position sizes.

The post provides no backtest, comparison, or evidence that these conditions predict future returns. Its examples also appear inconsistent with the stated rule: the Python conditions combine the range, limit-up, and turnover tests on the same row, while the text describes a limit-up in a prior window and turnover on the previous day. The turnover expression compares one day’s turnover with a fraction of the preceding day’s turnover, which differs from a simple fixed 3%–28% band. These details need verification before use.

Key ideas

• The proposed screen combines a minimum daily range, a recent limit-up event, and a turnover filter.
• The author treats these conditions as proxies for volatility, market interest, and activity.
• The article suggests adding other indicators, fundamental checks, and portfolio risk controls.
• The supplied code does not clearly match the stated lookback and turnover conditions.
• No performance test is reported, so the screen’s predictive value is unknown.

Tags

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