Stock Screening by Intraday Range, Turnover, and Recent Limit-Ups

Summary

This Chinese stock-screening post describes a rule based on price range, recent turnover, and limit-up frequency. Its initial description calls for an amplitude above 1, prior-day actual turnover between 3% and 28%, and more than two limit-up sessions in a ten-day window. The final stated screen also adds a price-to-earnings constraint below 30 and expresses the limit-up condition as a ratio over recent trading days. Example formula and Python snippets are included, though their data fields and calculations may need adaptation.

The post argues that combining range, activity, and repeated limit-ups may identify volatile, active stocks, but provides no backtest or performance evidence. It warns that the screen emphasizes short-term price action and may capture speculative activity, while ignoring financial health and industry prospects. There is also a difference between the opening criteria and the final rule, so the intended thresholds should be clarified before implementation. Fundamental and relative-strength inputs are suggested as possible additions, without a validation method.

Key ideas

• The proposed screen combines price amplitude, turnover, and repeated recent limit-up sessions.
• The final version adds a price-to-earnings filter and a limit-up frequency ratio.
• The post supplies example implementations that may require changes for the chosen data source.
• It reports no empirical performance evidence and highlights speculative-price and fundamental risks.
• The initial and final descriptions differ, so the screen’s intended definition is ambiguous.

Tags

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