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

Summary

The proposed Chinese equity screen selects stocks with turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and a stated circulating market value above 10 billion yuan. The accompanying explanation treats turnover as a measure of trading activity, a recent limit-up as a sign of market interest, and company size as a rough stability filter. It also suggests adding financial, earnings, valuation, policy, and trend measures to improve the selection process.

The document provides indicator logic and sample implementation material, but no backtest results or evidence that the screen is profitable. Its code appears to use turnover quantiles and total shares as filters, which do not directly match the stated turnover and circulating market-value criteria. The document itself flags the limits of relying on market heat and size without fundamental checks, and notes the possibility of misleading or manipulated activity.

Key ideas

• The stated screen combines a turnover range, a recent limit-up event, and a minimum circulating market value.
• The author interprets these filters as proxies for activity, market interest, and company scale.
• The sample code's use of turnover quantiles and total shares may differ from the stated screen criteria.
• The document recommends adding fundamental, valuation, and trend measures, but reports no performance evidence.

Tags

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