Screening Stocks by Price Range, Turnover, and Recent Limit-Ups
Summary
This Chinese A-share screen combines three recent trading conditions: daily price amplitude of at least 1 percent, turnover above 2 percent and no more than 9 percent, and at least one limit-up event during the previous month. The article interprets amplitude and turnover as measures of trading activity and a recent limit-up as a possible sign of concentrated buying or changing market sentiment. It includes example indicator logic and a Python outline for screening stocks.
No backtest, return series, or comparison with a benchmark is provided, so the claimed usefulness is not supported by performance evidence in the document. The article acknowledges that the rule emphasizes short-term activity and sentiment while omitting company fundamentals and broader market conditions. It suggests combining the screen with other indicators and fundamental analysis, and managing position size and exits. The code is illustrative; its turnover calculation and date handling would need validation against the intended definitions before relying on its selections.
Key ideas
- The screen requires amplitude of at least 1 percent and turnover between above 2 percent and 9 percent inclusive at the upper end.
- A stock must also have recorded a limit-up event within the prior month.
- The rule targets recent trading activity and sentiment rather than long-term fundamentals.
- The document provides example implementation logic but no backtest evidence.
- It recommends broader analysis and explicit risk controls as possible additions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.