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

Summary

This document presents a stock-selection screen for the Chinese market. It combines three conditions: daily price amplitude above 1%, at least one limit-up event during the preceding 25 days, and turnover above 8% on the previous day. Stocks passing the screen enter a candidate pool. The accompanying examples describe applying the rules with a charting-platform formula and daily stock data, then sorting selected names by closing price.

The rationale is that large ranges, recent limit-up moves, and high turnover may indicate volatility and active market interest. These are hypotheses about attention and price behavior, not evidence of predictive returns: the document reports no backtest results or performance statistics. It also warns that high-turnover names can be volatile and sentiment-driven, historical signals may not predict future results, and fundamental conditions should be considered. Suggested refinements include adding financial data and technical filters or ranking. The screen is therefore a candidate-generation rule, not a complete portfolio or risk-management method.

Key ideas

• The screen requires daily amplitude above 1%, a limit-up event in the prior 25 days, and previous-day turnover above 8%.
• Passing stocks are placed in a candidate pool rather than assigned a complete trading plan.
• The author interprets these conditions as signs of volatility and active market interest.
• The document provides no reported backtest performance to establish that the screen predicts returns.
• It advises considering fundamentals and the risks of sentiment-driven volatility.

Tags

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