Chinese Equity Screen Using Amplitude, Turnover, and Limit-Up History

Summary

This article proposes screening Chinese stocks by daily price amplitude, a bounded turnover-rate range, and a minimum count of limit-up sessions over a historical window. It presents the rule as a way to find stocks with notable price movement and market attention, using the limit-up count as a rough indicator of trend behavior. The document includes an indicator-formula example and a Python example intended to retrieve stock data and apply related filters.

The article cautions that historical limit-up frequency may overfit and may not reflect current conditions. It recommends adding financial measures and other technical indicators for a broader assessment. No backtest results or evidence of predictive value are provided. The code example’s calculations and data fields do not clearly implement every stated condition, so its outputs should be checked against the intended definitions before use. This is a screening heuristic, not demonstrated investment advice.

Key ideas

• The proposed screen combines price amplitude, a turnover interval, and a historical count of limit-up sessions.
• The article interprets these inputs as proxies for volatility, market attention, and trend behavior.
• It warns that past limit-up frequency may overfit and may not represent current market conditions.
• No backtest evidence is supplied, and the example code should be checked against the stated filters.

Tags

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