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

Summary

This Chinese stock screen selects shares with price amplitude above 1%, turnover greater than 2% and less than 9%, and no price-limit rise on the previous day. The rationale is to find stocks showing notable movement and market participation while excluding names that had already reached the daily upper limit. The post presents the criteria as a basic quantitative selection rule and includes formula and Python examples.

The document offers no backtest, performance statistics, or evidence that the screen identifies stocks with future upside. It acknowledges that three simple conditions do not capture a company’s investment value and that market conditions can make outcomes unreliable. It suggests adding financial and industry information and monitoring market themes and policy changes. The Python example’s data handling and turnover proxy do not clearly implement all stated conditions, so its code should not be treated as a validated reproduction of the screening logic. The rule is best understood as an initial filter requiring further testing and definition.

Key ideas

• The screen combines daily price amplitude, a bounded turnover range, and prior-day limit-up status.
• Its stated aim is to find active stocks that did not reach the upper price limit the day before.
• The post provides formula and Python examples but no evidence of predictive performance.
• Financial, industry, and market context may be needed to make the screen more informative.
• The code’s data choices do not clearly match every stated screening condition.

Tags

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