A-Share Breakout Screening with Turnover and Recent Limit-Ups

Summary

This document describes a Chinese A-share screening rule combining a turnover band, a recent limit-up event, and a price breakout condition. Its initial description uses turnover between 3% and 12%, at least one limit-up in the prior 25 days, and a high equal to the two-day high. It explains that these filters aim to find actively traded stocks with short-term strength, while warning that the screen omits fundamentals and valuation and that a price high can quickly become stale after a decline.

The article then recommends supplementing the screen with fundamental and technical analysis and replacing the short high lookback with a 20-day high. A formula example additionally sorts candidates by northbound capital flow; a Python example uses market data and filters for turnover, price behavior, and nonnegative capital flow. These implementations do not fully match the original stated rule, and the article provides no backtest or performance evidence. Treat it as a screening template requiring data validation and independent testing, not as proof of an exploitable edge.

Key ideas

• The initial screen combines 3%–12% turnover with a limit-up event during the prior 25 days.
• The description pairs those filters with a recent high condition intended to identify short-term strength.
• A later formula uses a 20-day high and orders candidates by northbound capital flow.
• The article warns that the screen omits company fundamentals and valuation and may fail after a sudden decline.
• The formula and Python example differ in details, so their implementation should be checked before use.

Tags

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