A Turnover and Price-Momentum Screen Using Recent Limit-Up History
Summary
This Chinese stock-screening post describes a rule combining a turnover rate between 3% and 12%, a positive 10-day gain below 35%, and at least two limit-up sessions within the prior 500 days. It presents the screen as a way to combine trading activity, recent price movement, and historical strength when selecting equities. A Python example sketches filters for excluding certain listings, stocks with short histories, and flagged companies, then applies price and turnover conditions.
The post provides no performance statistics or validated backtest results. It cautions that the long lookback may give stale signals and that the screen omits fundamentals and industry context. It also notes the limit-up count and window may need adjustment, and suggests adding other factors or machine-learning methods. The accompanying code is only a reference: its date choices, threshold handling, and data assumptions would need checking before use, and the post itself calls for adaptation to the selected data source.
Key ideas
- The screen requires turnover between 3% and 12% and a positive 10-day gain below 35%.\nIt also selects stocks with at least two limit-up sessions during the previous 500 days.\nThe post suggests combining price and activity filters with fundamental or industry information.\nHistorical limit-up signals may become stale, and the proposed screen has no reported performance validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.