Chinese A-Share Screen Using Turnover and Recent Limit-Up Events

Summary

This document describes a Chinese A-share stock screen based on turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and excluding Beijing-listed shares. It frames these filters as a way to find active stocks that have recently shown strong price movement. The accompanying example code also checks listing details and financial data, including valuation and profitability measures, though the written selection logic does not specify precise thresholds for those fundamentals.

The post cautions that activity and recent price strength do not assess company quality or valuation, and that excluding an entire market segment could omit future leaders. It recommends adding fundamental, policy, and sentiment considerations. No backtest, performance figures, or comparison with alternative screens is provided, so the proposed selection rationale remains unvalidated. The code and prose also appear to differ in some implementation details; users should verify how turnover, the lookback window, and the exclusions are actually calculated before relying on the screen.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and a limit-up event in the previous 25 days.
• It excludes Beijing-listed shares, although the post notes this may omit potential market leaders.
• Recent activity and price strength can leave valuation and business quality unexamined.
• The suggested extensions include valuation, profitability, policy, and sentiment factors.
• The document provides no evidence of strategy performance or robustness.

Tags

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