A Chinese Stock Screen Combining Turnover, Float, and Recent Limit-Up Activity

Summary

The document presents a Chinese stock-selection screen using a turnover range of 3% to 12%, a circulating share count no greater than 5.5 billion, and at least one limit-up event in the preceding 25 days. A later version of the stated selection logic adds circulating market capitalization above 10 billion yuan and a KDJ golden-cross condition. Example screening references also add a high ROE threshold and a stop-loss level set below the closing price, though these are presented as possible refinements rather than demonstrated results.

The rationale is to find actively traded, smaller-float stocks with recent strong price action, potentially capturing hot sectors or individual names. The article warns that this approach can chase gains and may be vulnerable to market shakeouts. It omits fundamental and sector analysis in its basic screen and provides no backtest, transaction-cost analysis, or evidence of risk-adjusted performance. The different versions of the criteria also mean the exact intended screen should be checked before implementation.

Key ideas

• The basic screen combines a 3%–12% turnover range, a circulating float ceiling, and a limit-up event within the prior 25 days.
• A later formulation adds a minimum circulating market capitalization and a KDJ golden-cross filter.
• The article suggests ROE and stop-loss rules as possible additions, without reporting their tested effects.
• Recent limit-up activity may expose the screen to momentum-chasing risk and unstable post-entry returns.
• The described criteria vary across sections, so the intended implementation needs clarification.

Tags

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