Screening Stocks by Trading Range, Turnover, and Recent Limit-Ups

Summary

This Chinese-market stock screen combines three historical activity filters: daily amplitude above 1%, turnover between 2% and 9%, and at least two limit-up events within a 500-day lookback. The document frames amplitude as a volatility measure, turnover as an indicator of market attention, and repeated limit-ups as a possible sign of trend strength. It supplies formula and Python examples for implementing the criteria.

The article cautions that limit-up counts may overfit and that historical data may not reflect current conditions. It suggests adding valuation and other technical measures for a broader assessment. No backtest or return results are reported. The code examples also appear to implement some conditions differently from the stated screen, so users would need to verify definitions and calculations before treating the output as equivalent to the described logic.

Key ideas

• The screen requires amplitude above 1% and turnover between 2% and 9%.
• It also requires at least two limit-up events in a 500-day period.
• The document interprets these measures as proxies for volatility, attention, and trend activity.
• It warns that limit-up counts may overfit and that historical conditions can become stale.
• The code examples may not match the stated criteria exactly and need verification.

Tags

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