Filtering Chinese Stocks by Intraday Range, Turnover, and Recent Limit-Ups

Summary

This Chinese stock-screening example selects shares with a daily high-to-low range above one percent and prior-day trading value above 60 million, while excluding stocks that recently reached their daily price limit. The stated rationale is to focus on active, volatile shares and avoid names that may have already made a sharp short-term move. The article presents the screen as a simple technical selection rule and gives implementation references for a domestic trading platform and Python.

The article also notes that the filter omits company fundamentals and that excluding limit-up stocks may remove shares with continuing upward momentum. It suggests adding valuation measures and broadening the exclusion window, then describes a revised version incorporating fundamentals and a recent three-day limit-up filter. No backtest, performance figures, or detailed validation are provided. The code examples and descriptions do not clearly establish that all conditions use correctly aligned prior-day data, so the screen should be treated as an idea requiring implementation checks and testing.

Key ideas

• The screen combines a minimum daily price range with a prior-day turnover threshold.
• It excludes stocks that recently reached their daily price limit.
• The proposed filter targets liquid, active shares but does not evaluate company fundamentals.
• Excluding recent limit-up stocks may remove shares whose upward momentum continues.
• The article proposes adding valuation data and testing a broader recent-limit-up exclusion.

Tags

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