Screening Chinese Stocks by Volatility, Float Size, and Recent Limit-Ups

Summary

This post proposes a short-term China A-share screen combining three conditions: prior-session amplitude above 1%, tradable shares no greater than 5.5 billion, and more than two limit-up days within ten sessions. The rationale is to find active, relatively smaller companies with strong recent price action. A turnover ranking is then used to select a subset of qualifying stocks.

The post warns that the screen ignores company financials and fundamentals, can be vulnerable to market conditions and adverse company events, and emphasizes short-term strength over long-term prospects. It suggests adding fundamental filters and periodically reviewing the rules. Although it includes formula and Python examples, it provides no backtest methodology, returns, transaction costs, or evidence that the screen is profitable; its limit-up counting formula and data definitions also are not validated in the text.

Key ideas

• The screen combines price amplitude, tradable share count, and recent limit-up frequency.
• It targets active smaller stocks showing strong short-term price action.
• Qualifying stocks are further ranked by turnover to select a subset.
• The post recommends considering fundamentals and revisiting the rules over time.
• No performance evidence or transaction-cost analysis is provided.

Tags

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