Screening Chinese Stocks for Range, Dividends, and Consecutive Limit-Up Moves

Summary

This stock screen selects shares using three stated conditions: a price-range measure above one, a 2019 dividend payout ratio above 25%, and three consecutive limit-up sessions ending the previous day. The article interprets these filters as combining volatility, a measure of corporate stability, and strong market enthusiasm. It also includes a separate historical-data code example with additional exclusions based on valuation, market capitalization, and recent daily gains; that example does not fully implement the stated screen, so the two descriptions should not be treated as identical.

The author flags market, industry, and company-specific risks and suggests adding technical and fundamental factors or combining weighted factors. No backtest results, sample, return data, or operational definitions for all filters are provided. The screen is therefore an idea for further research, not evidence of a profitable strategy; its historical dividend and price conditions also require careful timing and data checks in any evaluation.

Key ideas

• The stated screen combines a range threshold, a historical dividend payout condition, and three consecutive limit-up sessions.
• The rationale links the filters to volatility, company stability, and market sentiment.
• The code example adds valuation and size exclusions and checks recent daily gains, making it differ from the stated screen.
• The article suggests testing additional technical and fundamental factors or weighted combinations.
• It provides no performance evidence and notes market, industry, and company-specific risks.

Tags

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