Screening Chinese Stocks by Range, Limit-Up History, and Turnover

Summary

This stock screen selects shares with a daily high-low range above one percent, at least two limit-up events within the preceding 500 days, and prior-day active turnover from 3% to below 28%. It is framed as a way to find stocks with notable price movement and trading activity. The article also suggests ranking candidates using a combination of range, limit-up count, and active turnover.

The document includes formula references and a Python sketch, but the sketch uses daily tick data and price comparisons as approximations of the stated filters. It reports no historical returns, benchmark comparison, or robustness checks. Its own caveats are that technical activity filters omit company fundamentals and that turnover alone may not capture a stock’s circumstances. It suggests adding company performance, valuation, competitive position, capital flows, and industry context. The screen is therefore a candidate-selection rule, not a tested trading system or a complete basis for investment decisions.

Key ideas

• The screen requires a daily price range above one percent and at least two limit-up events in 500 days.
• It filters for prior-day active turnover of at least 3% and below 28%.
• The suggested ranking combines price range, limit-up frequency, and turnover.
• The article cautions that activity-based filters omit fundamentals and may misclassify stocks.
• No backtest results or evidence of predictive performance are provided.

Tags

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