A-Share Screening by Turnover and Recent Limit-Up History

Summary

This post describes a Chinese A-share stock screen using a turnover-rate range of 3% to 12%, excluding Beijing-listed shares, and requiring at least two limit-up days within the previous 500 trading days. It frames limit-up events as a possible signal of investor attention or market sentiment and provides a sample screening approach based on daily prices and turnover data.

The author cautions that fast sector rotation and changing sentiment can make selections unstable, and that historical price action may not predict future performance. Suggested refinements include evaluating a broader index of limit-up stocks and combining the event count with other measures, such as trading volume or RSI. The post does not report a backtest, returns, or evidence that the screen has predictive value; its sample logic is illustrative, and the stated filters alone do not establish a complete investment strategy.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed A-shares.
• It selects stocks with at least two limit-up sessions in the prior 500 trading days.
• The post treats limit-up events as a possible sentiment indicator, not a standalone forecast.
• Sector rotation and changing market sentiment may make the selections unstable.
• The author suggests combining event counts with other indicators and assessing the group as a whole.

Tags

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