A Chinese Stock Screen Using Turnover, Limit-Ups, and Recent Returns

Summary

The document describes a Chinese stock selection screen combining relative trading volume, recent returns, and limit-up history. It ranks stocks by volume ratio and takes the top 50, requires at least two limit-up sessions within the prior 500 days, and filters for a positive return below 35 over the prior 10 days. The rationale offered is that these conditions may identify stocks with market attention, activity, and recent strength.

The post cautions that short-term filters can overlook longer-term trends, cannot reliably predict future performance, and may be vulnerable to market swings. It suggests adding company size, valuation, and technical levels for further assessment, but does not specify a complete validated procedure for combining them. No backtest results, return statistics, benchmark comparison, execution assumptions, or risk controls are supplied, so the screening logic should be treated as a heuristic rather than evidence of an investable edge.

Key ideas

• The screen ranks stocks by relative trading volume and selects the top 50.
• It requires at least two limit-up sessions in the previous 500 days.
• It filters for positive returns below 35 over the previous 10 days.
• The author identifies short-term focus and market volatility as limitations.
• The post gives no performance test or evidence that the screen predicts returns.

Tags

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