A Chinese Equity Screen for Turnover, Daily Gains, and Recent Limit-Ups

Summary

This proposed screen targets main-board Chinese stocks with turnover between 3% and 12%, a daily gain greater than 1%, and at least one limit-up event during the preceding 25 days. The post frames turnover as a way to avoid both weakly traded and excessively active stocks, while the recent limit-up condition is intended to identify stocks with near-term market attention. It includes an indicator formula reference and a Python-style example with additional price-movement checks.

The post does not provide backtest results or evidence that the filters predict future returns. It notes that a 25-day window may capture temporary excitement without reflecting longer-term attention, and suggests adding technical and fundamental measures. The code and prose are not fully aligned: the sample adds conditions beyond the stated screen, and its handling of limit-up status should be checked against the data fields and market rules before implementation. Treat this as a screening idea rather than a validated trading strategy.

Key ideas

• The stated screen combines turnover from 3% to 12%, a daily gain above 1%, main-board listing, and a limit-up in the prior 25 days.
• Recent limit-up activity is used as a proxy for short-term market attention.
• The post gives no backtest or evidence of predictive performance.
• The sample implementation adds filters and should be reconciled with the stated criteria and data definitions.

Tags

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