Chinese Stock Screen Using Volatility, Float Size, and Recent Limit-Ups

Summary

This Chinese A-share screening idea combines three filters: daily amplitude above one percent, circulating shares no greater than 5.5 billion, and a limit-up event within the prior 25 trading days. The rationale is to find volatile stocks of moderate size that have shown recent market attention, with candidates ranked by turnover rate. The page includes formula-style and Python examples for implementing the screen.

The author notes that the short lookback can be noisy, attention-based selection can overlook fundamentals and industry conditions, and the selected stocks may carry high volatility. Suggested refinements include adding technical and fundamental filters, defining stop-loss and take-profit rules, and assessing risk and return through simulated trading. No backtest or live performance results are provided, and the examples alone do not establish that the filters predict future returns.

Key ideas

• The screen selects stocks with amplitude above one percent, a circulating share count at or below 5.5 billion, and a recent limit-up event.
• It uses turnover rate to rank candidates and presents formula and Python implementations.
• The short-term filters may be affected by noise and can neglect fundamentals and industry context.
• The author suggests adding further filters, setting exit rules, and evaluating simulated results.

Tags

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