Screening Chinese Main Board Stocks by Volatility and Limit-Up History

Summary

The document outlines a screen for Chinese main board stocks that combines daily amplitude above 1, at least two limit-up events within 500 days, and a daily gain above 1%. It proposes sorting qualifying stocks by the size of the day’s gain. Formula references and a Python example are provided, but their calculations do not consistently align with the stated rules, including how amplitude, recent limit-ups, and daily gain are assessed.

The author notes that a screen focused on price behavior may omit fundamental information and that the limit-up and gain thresholds are broad. Valuation and dividend measures are suggested as possible additions, along with more detailed risk review. No backtest results or evidence of predictive performance are supplied. The strategy therefore remains a proposed selection rule, and its definitions, market classification, data handling, and risk controls would need validation before practical use.

Key ideas

• The proposed screen combines daily amplitude, limit-up history, and a positive daily price move.
• It limits candidates to Chinese main board stocks and ranks them by daily gain.
• The author suggests adding valuation or dividend measures and strengthening risk review.
• The document gives no backtest evidence, and the example code may not match the stated filters.

Tags

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