A-Share Screen Combining Daily Range, Recent Limit-Ups, and Turnover

Summary

This Chinese A-share screening rule selects stocks with a daily range above 1%, at least one limit-up day during a recent 25-day period, and turnover between 3% and 12%. The source presents the range as a sign of higher volatility, a recent limit-up as evidence of strong price movement, and turnover as a liquidity filter. It includes sample indicator and Python implementations, though the code uses an 18-day rolling limit-up check in one example rather than the stated 25-day window.

The article notes that technical filters alone omit company fundamentals and that turnover by itself may not capture liquidity fully. It suggests combining the screen with other company and market information and adjusting turnover analysis for market capitalization. The examples also contain implementation concerns, including a volume-based proxy for turnover and inconsistent data fields. No backtest or return evidence is provided, so the recipe is a candidate screen, not an established trading strategy.

Key ideas

• The screen combines a daily range above 1%, a recent limit-up event, and turnover between 3% and 12%.
• The article treats volatility, price strength, and liquidity as separate selection dimensions.
• It warns that technical filters omit fundamentals and that turnover alone may not measure liquidity adequately.
• The code examples use a different lookback in one case and raise data and measurement questions.
• No backtest results are reported.

Tags

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