China Stock Screen Using Turnover,龙虎榜 Activity, and Limit-Up Exclusion

Summary

This note describes a Chinese equity screen combining a daily turnover band of 3% to 12%, appearance on the prior day’s 龙虎榜 (a public list of unusual trading activity), a listing age above 240 days, and exclusion of stocks that closed at the prior day’s upper price limit. The stated rationale is to combine liquidity and notable market attention while avoiding stocks that had already hit the limit-up threshold.

The article gives matching indicator-formula and pandas examples, but provides no performance results or empirical validation. It cautions that the screen omits company fundamentals and other important measures, and recommends adding further indicators and risk controls. The selection rules therefore describe a candidate filter rather than a complete investment decision process; the source also does not define how positions should be sized, entered, or exited.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt selects stocks appearing on the prior day’s unusual-trading list.\nIt excludes recently listed stocks and those that closed at the prior day’s upper price limit.\nThe article advises supplementing the filter with fundamental analysis and risk controls.

Tags

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