A Chinese Equity Screen Using Turnover, Limit-Up History, and the Five-Day Average

Summary

This post describes a Chinese equity selection screen combining a turnover range, at least one limit-up event within a recent lookback window, and a closing price above the five-day moving average. It presents the screen as a way to combine trading activity and recent market strength, and includes an example formula and a Python implementation outline that also ranks selected stocks by price-to-earnings ratio.

The post suggests adding fundamental measures and adjusting parameters to market conditions. It cautions that the screen can overlook company financial health and that results depend on how indicators and thresholds are defined. It provides no backtest results or performance evidence, and its code example’s data handling and screening logic are not validated in the document. The setup is therefore best read as a candidate rule set, not as evidence of a profitable strategy.

Key ideas

• The screen combines a turnover band, a recent limit-up event, and price above a short moving average.
• The post supplies formula and Python examples and describes sorting candidates by valuation.
• It frames the rules as a mix of liquidity, market activity, and technical trend signals.
• Fundamental information and market-dependent parameter choices are noted as potential improvements.
• No performance testing is reported, and the sample implementation is not validated.

Tags

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