A-Share Screen for Turnover, Recent Limit-Ups, and Non-ST Status

Summary

This document describes an intraday screen for Chinese equities. Its stated filters are turnover between 3% and 12%, at least one limit-up event in the previous 25 days, and exclusion of special-treatment stocks. It aims to identify candidates before 10 a.m. and then select five stocks. The accompanying example adds financial growth and efficiency checks, recent price and volume conditions, and a ranking by daily price change.

The post explains the idea in prose and provides formula and Python examples, but the implementations do not clearly align: for example, the formula’s average-price condition is difficult to reconcile with the code’s selection of five stocks. It supplies no backtest results or evidence that the screen predicts returns. The author acknowledges that narrow filters can exclude potential candidates and suggests adding other indicators. Treat the rules as an illustrative screening recipe; the document does not establish performance, robustness, or execution feasibility.

Key ideas

• The core screen uses turnover of 3%–12%, a limit-up event within 25 days, and non-ST status.
• The intended selection time is before 10 a.m., with five candidates ultimately selected.
• The Python example adds financial metrics, recent price behavior, and ranking by daily change.
• The formula and code appear to differ in some details, so their conditions need reconciliation before use.
• The post provides no performance evaluation and notes that restrictive filters may miss candidates.

Tags

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