Chinese Stock Screening by Turnover, Limit-Up History, and Opening Gain

Summary

This Chinese stock-screening proposal combines relative trading activity, historical limit-up frequency, and the opening gain measured at 9:25. Its initial rules select stocks ranked among the top 500 by volume ratio, with at least two limit-up sessions in the previous 500 days, and an opening gain below 6%. The post explains these criteria as proxies for investor attention, activity, and a potentially more attractive opening price. It also suggests adding turnover, trading volume, market capitalization, industry, and technical levels.

The final proposed screen combines top-500 rankings by volume ratio, turnover, and trading volume with the same limit-up history and opening-gain filters. The post warns that volume ratio can be manipulated and that limit-up counts and opening prices may reflect unstable market sentiment or news. It offers no backtest, return data, or evidence that the thresholds predict future performance, so the screen is a hypothesis rather than a validated strategy.

Key ideas

• The proposed screen ranks stocks by volume ratio, turnover, and trading volume.
• It requires at least two limit-up sessions over the previous 500 days.
• It filters for an opening gain below 6% at 9:25.
• The author describes the activity measures as indicators of attention and the opening condition as a possible buying opportunity.
• The post warns that trading activity, limit-up history, and opening prices can be distorted by sentiment or news, and gives no backtest results.

Tags

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