Chinese Stock Screening by Volatility, Turnover, and Recent Limit-Ups

Summary

This Chinese equities screen selects stocks with daily amplitude of at least 1%, turnover above 2% and no more than 9%, and more than two limit-up sessions within the past ten days. The rationale combines price movement, trading activity, and recent market enthusiasm to identify actively traded stocks with strong short-term attention. The document also provides example formula and Python snippets, but these are implementation references rather than performance evidence.

The author cautions that the approach depends heavily on recent sentiment and that stocks repeatedly reaching limit-up prices can carry substantial risk. Suggested refinements include adding fundamental measures such as valuation and dividends, and considering market style and trend. The Python example includes moving-average checks that are not part of the stated final screen, and its turnover thresholds are expressed differently from the prose. No backtest results or risk-adjusted performance are supplied, so the selection logic should not be treated as a validated standalone strategy.

Key ideas

• The screen combines daily amplitude, a bounded turnover range, and recent limit-up frequency.
• It is intended to find volatile, actively traded stocks attracting strong recent attention.
• The document warns that sentiment dependence and repeated limit-up behavior can increase risk.
• Fundamental measures and broader market conditions are proposed as possible additional filters.
• The supplied Python example includes moving-average conditions beyond the stated screening rules.

Tags

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