A-share Screen for Moderate Turnover and Recent Three-Limit-Up Momentum

Summary

This screen selects Shanghai-listed A-share stocks whose codes begin with 60, whose turnover is between 3% and 12%, and which are described as having reached a three-day consecutive limit-up sequence the prior day. Its stated rationale is short-term momentum: stocks that have risen sharply may continue to attract buyers, while a turnover band is intended to narrow the universe to names with moderate trading activity. The article ultimately suggests supplementing the technical conditions with financial statement analysis and other risk controls.

The document offers a screening expression and sample Python, but no backtest, trade rules, benchmark, or measured returns. The code’s check that three daily percentage changes are positive does not by itself establish three consecutive limit-up closes, and its turnover calculation may not match the stated percentage range. The approach also omits valuation and company fundamentals and could concentrate exposure in unstable, high-volatility stocks. These limitations make the screen a hypothesis for testing rather than evidence of a reliable continuation effect.

Key ideas

• The screen combines a Shanghai listing filter, 3%–12% turnover, and a recent three-limit-up condition.
• Its rationale is that strong recent price action may continue through short-term momentum.
• The article advises adding fundamental analysis and risk controls.
• The sample code checks positive returns over several sessions, which does not fully verify consecutive limit-up events.
• 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.