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

Summary

This post describes a Chinese equity screen that selects stocks with a daily high-low range above 1%, at least two apparent limit-up moves over the preceding 500 days, and prior-day turnover above 60 million. It presents both indicator-style conditions and a Python example, and suggests running the screen before the market opens. The stated rationale is to combine recent price activity with a minimum level of trading value.

The document gives no backtest, performance statistics, or evidence that these filters predict returns. Its discussion acknowledges that the screen ignores company fundamentals and may select volatile stocks. The example code and formula may not implement every condition consistently: for example, the prose refers to a current-day range while the Python snippet uses a historical average range. The threshold logic and data timing should therefore be checked before research or use.

Key ideas

• The screen combines a minimum daily price range, past limit-up events, and prior-day turnover.
• It focuses on recent market activity rather than company fundamentals.
• The post provides formula and Python examples but no performance evidence.
• The examples may differ in their implementation of the stated screening rules.

Tags

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