Screening Chinese Stocks by Volatility, Profitability, Size, and Limit-Ups

Summary

The post describes a Chinese A-share screening rule that combines daily price range, market capitalization, positive net profit, and repeated limit-up closes over a recent 500-day period. It presents the screen as a way to find relatively volatile, smaller companies that are profitable and have shown strong short-term price action. The article includes a formula reference and a Python example using market and historical price data to apply the criteria.

The discussion warns that past limit-up moves may reflect speculation or sentiment and do not establish lasting business value. It recommends adding fundamental and technical measures, considering volume and market mood, and controlling risk rather than chasing sharp moves. No backtest, portfolio construction rules, transaction costs, or performance evidence are supplied. The example code is illustrative, and the screening conditions alone do not define when to buy or sell, how to size positions, or how to handle market-specific trading constraints.

Key ideas

• The screen combines price range, market value, profitability, and historical limit-up frequency.
• The stated thresholds include market capitalization below 10 billion yuan and at least two limit-up moves within 500 days.
• The article suggests that volatility and past limit-up behavior may identify active stocks but do not guarantee future returns.
• It advises incorporating fundamental information, trading volume, market sentiment, and risk controls.
• The post provides example screening logic but no backtest or complete trading and portfolio rules.

Tags

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