A Chinese Stock Screen Using Turnover, Ten-Day Returns, and Limit-Up Status

Summary

The article presents a Chinese equity selection rule based on turnover between 3% and 12%, a positive ten-day return below 35%, and not having hit the daily upper price limit on the previous day. It says to select stocks before 10 a.m. The accompanying example also filters out certain exchange segments, special-treatment stocks, and recently listed companies, then checks price, turnover, and daily data through a market-data API.

The author frames the screen as a simple way to combine liquidity, recent performance, and prior-day price behavior, while warning that these few conditions can reflect overly optimistic market expectations. The article recommends adding technical and fundamental factors or using machine learning, but gives no evidence that these additions improve results. It reports no backtest, returns, transaction costs, or risk statistics. The sample code’s data dates and calculations are implementation details, so they should not be mistaken for validation of the screening rule.

Key ideas

• The screen selects stocks using a turnover band, positive but capped ten-day performance, and prior-day non-limit-up status.
• The stated selection time is before 10 a.m.
• The example additionally excludes certain listings and special-treatment stocks.
• The author cautions that a small set of market-based filters may expose the strategy to optimistic expectations.
• No performance study or evidence for the proposed enhancements is provided.

Tags

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