Screening Chinese Stocks by Amplitude, Limit Moves, and Turnover

Summary

This proposed equity screen selects stocks whose daily trading amplitude exceeds a threshold, excludes stocks that hit the upper price limit on the prior day, and requires turnover to fall within a specified middle range. The rationale is that turnover can serve as a rough measure of trading activity: a bounded range may avoid both unusually crowded stocks and names with very little activity. The document also sketches indicator calculations and a Python-based selection workflow, though parts of the sample implementation do not clearly match the stated logic.

The author acknowledges that turnover and price movement alone omit fundamental and other technical information. Suggested additions include indicators such as MACD and RSI, valuation measures, volume, price change, and broader market direction. The article’s concluding description refers to combining multiple indicators to build a diversified selection, but it gives no test results or concrete portfolio rules. The screen is therefore a starting filter, not evidence of a validated strategy; its thresholds and data calculations require careful checking before use.

Key ideas

• The screen combines a daily amplitude threshold with exclusion of prior-day limit-up stocks.
• It restricts candidates to a specified range of turnover, using activity as a selection criterion.
• The document proposes adding technical, fundamental, volume, and market-trend measures.
• Its sample workflow and indicator descriptions require validation against the stated rules.
• No backtest or portfolio performance evidence is provided.

Tags

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