A Chinese Stock Screen Using Turnover and Recent Limit-Up Events

Summary

This post describes a Chinese equity screen based on turnover ranges, a recent limit-up event within a lookback period, and additional turnover constraints. It interprets turnover as a measure of trading activity and a recent limit-up as a possible sign of market attention or capital inflow. Formula and Python examples are included, with the code using turnover statistics and checking for a recent large daily gain.

The article provides no backtest, returns, or evidence that the signals predict future gains. Its own discussion notes that the screen focuses on trading activity and market sentiment while omitting company fundamentals, valuation, and business conditions. It suggests combining financial and technical information, including trend and volume measures. The conditions and code should be reconciled before implementation because the description and examples express the filters differently; the post also does not establish how the proposed additions should be tested or weighted.

Key ideas

• The screen selects stocks by turnover levels and the presence of a recent limit-up event.
• The post interprets turnover as trading activity and a limit-up as a possible signal of market attention.
• The examples use turnover statistics and recent price gains, but the descriptions and implementations differ.
• No performance data is provided, and the screen does not evaluate fundamentals or valuation.
• The author recommends combining financial, volume, and trend measures for a broader selection process.

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