Screening Chinese Stocks by Amplitude, Prior Limit Moves, and Turnover

Summary

This stock selection recipe filters Chinese listed shares using three conditions: price amplitude above 1, no limit-up move on the prior day, and a turnover rate between 3% and 12%. The article says the turnover band is intended to avoid both unusually risky high-turnover stocks and low-liquidity names. It also provides a Python-oriented example using market data to collect candidates, along with a formula for turnover as trading volume relative to tradable shares.

The document does not report a backtest, performance statistics, or a clear operational definition of amplitude. Its explanation flags that the screen is simple and can miss relevant company information or trend context; it suggests adding technical indicators and fundamental checks. The sample implementation contains exchange-specific exclusions and limit-move handling, so its universe construction may not generalize to other markets or remain suitable as market rules and data interfaces change. The screen is a candidate filter, not a complete trading strategy.

Key ideas

• The screen selects stocks with amplitude above 1, excluding names that hit the upper limit the previous day.
• It retains stocks with turnover between 3% and 12% as a rough liquidity and risk filter.
• Turnover is described as trading volume divided by tradable share capital.
• The article warns that this simple screen omits trend and company fundamentals, and provides no performance validation.

Tags

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