Screening Chinese Stocks by Price Range, Float Size, and Prior Limit-Ups

Summary

This post proposes a short-term Chinese equity screen using three conditions: prior-session amplitude above 1%, tradable share count no greater than 5.5 billion, and at least one limit-up during the first three months of 2021. The rationale is to combine recent price movement, smaller float size, and evidence of past market attention. Example indicator and Python-style snippets show how to calculate amplitude, apply a rolling limit-up test, intersect the filters, and rank selected stocks by turnover.

The post offers no backtest results or evidence that these filters predict future returns. Its code examples use different formulations and may not implement the written rule consistently, particularly around the limit-up date window and return calculation. The author recognizes that the historical window may be arbitrary, that the technical filters omit fundamentals and industry context, and that risk controls and portfolio diversification would be needed before trading.

Key ideas

• The screen combines amplitude above 1%, float size at or below 5.5 billion shares, and a limit-up event in early 2021.
• The stated rationale is to find more volatile, smaller-float stocks that previously attracted market attention.
• The examples intersect the filters and rank candidates by turnover.
• The post provides no performance evidence, and its sample implementations may differ from the written criteria.
• It recommends broader fundamental research, explicit exit rules, and diversification as possible safeguards.

Tags

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