Intraday Chinese Stock Screening with Turnover and a Five-Day Limit-Up Filter

Summary

This Chinese equity screening proposal combines a daily amplitude above 1%, turnover between 2% and 9%, exclusion of special-treatment stocks, and selection before 10 a.m. It also refers to a “five-step limit-up” method, described as seeking stocks with consecutive limit-up moves within five days. The document gives example indicator logic and Python-style screening code, but the examples do not clearly implement the stated timing and limit-up rules consistently.

The rationale is to use amplitude and turnover as measures of activity, avoid ST shares, and focus on strong short-term price movement. The author flags possible false signals, pullbacks after limit-up moves, and the short-lived nature of market themes. They suggest adding fundamental or technical filters and using dynamic profit-taking and stop-loss rules. No backtest results or evidence of profitability are reported, so the proposed conditions should be treated as a screening concept rather than a validated strategy.

Key ideas

• The screen uses amplitude above 1% and turnover between 2% and 9% to identify active stocks.
• It excludes ST-designated shares and is intended to run before 10 a.m.
• The five-day limit-up condition aims to identify strong short-term price action.
• The document warns that limit-up stocks can pull back and that market themes may fade.
• It provides no performance evidence and recommends adding risk controls and further filters.

Tags

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