A Turnover, Seven-Day Decline, and Recent Limit-Up Stock Screen

Summary

The document presents a Chinese equities screening idea: select stocks with turnover between 3% and 12%, seven consecutive declining closes, and a limit-up event within the past month. It includes example screening logic and code references intended to identify the conditions over recent observations. The proposed rationale is to find actively traded stocks that have recently rallied sharply but then weakened for several sessions, potentially creating an entry opportunity.

The author notes that the screen does not examine financial statements or the reason behind the limit-up move, so selections may be biased or driven by short-lived events. Fundamental measures and additional technical indicators are suggested as possible filters, but no backtest results or evidence of profitability are supplied. The conditions define a candidate screen rather than a complete, validated trading system, and implementation depends on data field conventions and accurate event detection.

Key ideas

• The screen combines a turnover range, seven consecutive declining closes, and a limit-up event in the recent month.
• The proposed setup looks for stocks that had a sharp recent move followed by a sustained short-term decline.
• The author identifies missing fundamental analysis and the unexplained cause of a limit-up move as important limitations.
• Additional financial measures and technical indicators are suggested as possible screening filters.
• The document offers implementation examples but reports no evidence that the screen is profitable.

Tags

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