A Reversal Screen Using Turnover and Prior Limit-Up Exclusion
Summary
This Chinese equity screen combines a stated turnover range of 3% to 12% with a reversal, or “recovery,” pattern, while excluding stocks that hit the upper price limit the previous day. The note also includes formula conditions involving price movement, volume, trading value, and recent highs. It frames the turnover band as a way to find actively traded names without selecting the most overheated stocks, though it does not define the reversal pattern consistently across its prose and examples.
No backtest, return series, or other evidence is reported. The author warns that relying on a small set of signals can overlook market and sector conditions and lead to chasing rising prices. Suggested refinements include considering broader market and industry trends and adding indicators such as Bollinger Bands or momentum measures. The provided formula and sample code are references, not evidence that the screen is profitable or robust.
Key ideas
- The stated screen looks for turnover between 3% and 12% and a reversal pattern.
- It excludes stocks that reached the upper daily price limit on the prior day.
- The examples add liquidity and price-action conditions, but the reversal definition is not fully consistent.
- The document reports no performance tests and cautions that the screen may ignore market trends and encourage chasing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.