A Stock Screen Combining Recent Limit-Ups, Price Range, and Turnover

Summary

This post describes a Chinese-stock candidate screen requiring daily price amplitude above 1%, at least one limit-up event during the previous 25 trading days, and turnover between 2% and 9%. The proposed rationale is that recent limit-up activity may indicate market interest, while the amplitude and turnover filters identify shares with active price movement and trading. The post includes formula and Python examples, but the implementation appears to use volume percentile ranks and price movement relative to the open as proxies in places, so those examples may not faithfully implement the stated turnover condition.

The author notes that historical signals may not predict future returns, the selected features omit other relevant factors, and an acceptable turnover reading does not establish investment merit. Suggested refinements include adding valuation and growth measures, financial data, and screening by industry or market capitalization to limit concentration. The document gives no backtest results, benchmark comparison, or evidence that the screen is profitable. It should therefore be read as a rule set and rationale, with the definitions and data implementation requiring careful review.

Key ideas

• The proposed screen requires price amplitude above 1%, a limit-up event in the prior 25 days, and turnover between 2% and 9%.
• The post interprets recent limit-up activity as a possible sign of market interest, not as proof of future returns.
• The sample implementations appear to substitute volume ranking and price movement measures for parts of the stated turnover rule.
• The author suggests adding valuation, growth, financial data, and industry or market-cap grouping.
• No backtest or performance evidence is reported.

Tags

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