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

Summary

This note describes a Chinese equity screen combining three conditions: price amplitude above 1, circulating market capitalization above 10 billion yuan, and at least one limit-up event in the prior 25 days. It frames the screen as a way to find larger, actively moving stocks with recent upward price activity. The document includes example indicator and Python implementations, though the formulas and data handling are not fully consistent or clearly validated.

The note warns that recent limit-ups may not predict future gains and that a short-term, price-focused screen can overlook company fundamentals and longer-term prospects. It suggests adding financial and industry measures, researching which characteristics of limit-up stocks may be informative, and applying profit-taking and loss-control rules. No backtest results or evidence of predictive performance are provided, so the criteria should be treated as a screening hypothesis rather than an established strategy.

Key ideas

• The screen requires amplitude above 1 and circulating market capitalization above 10 billion yuan.
• It also looks for at least one limit-up event during the preceding 25 days.
• The note cautions that recent limit-ups do not establish future price direction.
• It recommends adding fundamental analysis and risk controls before using the screen.

Tags

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