Chinese Stock Screen Using Price Range, Limit-Ups, and Turnover

Summary

This Chinese equity screen selects stocks using three measures: daily price amplitude above 1, at least two limit-up sessions within the past 500 days, and previous-day turnover above 8%. The document presents these as signs of short-term volatility and market attention, and gives formula references and an illustrative Python outline for applying the filters.

The author cautions that the criteria depend on shifting market conditions. Limit-up history and amplitude capture short-term behavior, while one day of turnover may be unstable; a rapid change in market interest can make selections less relevant. Suggested refinements include adding valuation or growth measures and broadening the sample period or screening criteria. No performance results or empirical validation are provided, and the examples are implementation references rather than evidence that the screen predicts returns.

Key ideas

• The screen combines daily amplitude, limit-up frequency over 500 days, and prior-day turnover.
• The document interprets these measures as indicators of volatility and market attention.
• The author warns that short-term sentiment and one-day turnover can make results unstable.
• Fundamental measures and broader screening criteria are suggested as possible refinements.

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