A Chinese Equity Screen Combining Turnover, Recent Limit-Ups, and Trend

Summary

This proposed Chinese equity screen selects stocks with turnover between 3% and 12%, at least one limit-up event during the preceding 25 days, and a previous close above its 250-day moving average. It combines a liquidity or activity range with a recent price surge and a long-term trend filter, aiming to find stocks with upward momentum and market interest. The document also shows a stock-selection implementation and says selected names are sorted by price-to-earnings ratio, though the code’s precise calculations do not clearly match every stated rule.

The post offers no backtest, return series, benchmark comparison, or evidence that the screen predicts future performance. It acknowledges that the rules omit company fundamentals and suggests combining technical and fundamental filters and applying stop-loss or take-profit controls. The proposal is therefore a screening recipe, not a validated trading system; its results may depend on market regime, data definitions, execution, and how limit-up events and turnover are measured.

Key ideas

• The screen requires turnover between 3% and 12%, a limit-up event within the previous 25 days, and price above the 250-day moving average.
• The rules combine recent price strength, trading activity, and a long-term trend condition.
• The post suggests adding fundamental analysis and risk controls to the screen.
• No performance tests are provided, and the example implementation may not precisely reproduce all stated conditions.

Tags

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