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

Summary

This document describes a Chinese A-share screening rule that selects stocks with turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and a latest close above the previous day’s low. It provides a corresponding formula and a Python example that retrieves stock lists, financial information, quotes, and price bars, then filters and sorts candidates by price-to-earnings ratio.

The write-up frames turnover as an activity measure, recent limit-ups as a sentiment or price-event condition, and the close-versus-prior-low comparison as a price filter. It cautions that these temporary signals omit company fundamentals and may respond poorly to unusual market conditions. It suggests adding fundamental inputs, weighting the screening factors, and introducing stop-loss and take-profit controls. The document supplies no backtest, performance statistics, or evidence that the screen predicts returns; it is a candidate-generation recipe, not a validated trading system.

Key ideas

• The screen requires turnover between 3% and 12% and a limit-up event within the prior 25 days.
• It also requires the latest close to exceed the previous session’s low.
• The example ranks selected stocks by price-to-earnings ratio after applying the filters.
• The author notes that the rules omit fundamentals and lack a clear risk-control mechanism.
• No backtest or performance evidence is provided.

Tags

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