Chinese A-Share Screening by Turnover and Three-Day Limit-Up Streaks

Summary

This note describes a short-term Chinese A-share screen using a turnover range of 3% to 12%, excluding Beijing-listed stocks and stocks said to have had three consecutive limit-up days as of yesterday. It frames turnover as a way to avoid unusually active names and a recent limit-up streak as a sign of market attention. The accompanying example also filters out names containing “ST” and returns up to 20 candidates.

The note warns that the approach depends heavily on market style and may encourage chasing recent winners. Poor overall market conditions or weaker liquidity could hurt results. It suggests adding chart patterns, moving-average signals, or trading volume for further assessment, but provides no backtest, performance evidence, or detailed validation. The sample code’s date handling and method for identifying a consecutive streak do not clearly implement the described historical screen, so the example should not be treated as a verified strategy.

Key ideas

• The screen uses a turnover range of 3% to 12% and excludes Beijing-listed shares.
• It uses a recent three-day limit-up streak as a market-attention signal.
• The note flags sensitivity to market conditions and the risk of chasing recent price moves.
• It suggests combining the screen with chart and volume indicators, but reports no performance tests.

Tags

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