Screening Chinese Stocks by Volatility, Limit-Ups, and Turnover

Summary

This document describes a Chinese stock-selection screen combining three technical filters: daily amplitude above 1%, at least two limit-up events within a 500-day window, and turnover between 3% and 12%. It gives corresponding indicator expressions and a Python example intended to retrieve historical data and identify stocks meeting the conditions. The article suggests that volatile stocks with prior limit-up events and selected turnover may have upside potential, then recommends adding fundamental analysis.

The screen is a heuristic, not a demonstrated strategy: the document provides no backtest results, benchmark, transaction-cost analysis, or evidence that the conditions predict future returns. It flags the omission of fundamental factors and possible liquidity risk, especially for lower-turnover stocks. The code and expressions may also require review before use, and its stated thresholds should be understood as screening choices rather than validated investment rules.

Key ideas

• The screen combines an amplitude threshold, a count of prior limit-up events, and a turnover range.
• It evaluates limit-up events over a 500-day lookback period.
• The article proposes adding company fundamentals to the technical filters.
• The document warns that the approach may overlook liquidity and fundamental risks.
• No performance test or evidence of predictive value is provided.

Tags

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