Chinese Stock Screen Using Price Range, Turnover, and Limit-Up Rules

Summary

This stock-screening proposal selects non-ST, non-suspended shares using a price-range condition, prior-day turnover between 3% and 28%, and a rule described as the five-step limit-up method. The stated aim is to focus on active shares showing short-term price movement and potential market interest. Reference examples show how the author intends to combine these filters with a limit-up price band and volume comparison.

The article cautions that the criteria are simple, may be affected by market noise, and require risk controls; it suggests adding fundamental and industry information and adjusting to short-term market changes. The examples are illustrative rather than validated: they provide no backtest results, costs, or evidence that the screen predicts returns. Some labels and sample expressions appear potentially inconsistent with the stated use of prior-day turnover and the timing implied by selection before 10 a.m., so implementation details and exchange-specific limit rules should be checked before relying on the screen.

Key ideas

• The proposed screen combines price range, prior-day turnover, stock-status exclusions, and a limit-up condition.
• The stated turnover band is 3% to 28%, and ST or suspended shares are excluded.
• The article recommends considering fundamental and industry context and managing risk.
• The example expressions are presented as references and do not establish strategy performance.
• The timing and prior-day data conditions may need clarification in an actual implementation.

Tags

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