Chinese Stock Screen Combining Turnover, Three Down Days, and Prior Limit-Ups

Summary

This Chinese equities screening example combines turnover, recent price weakness, and prior limit-up events. The stated selection conditions are turnover between 3% and 12%, three consecutive down days, and at least two limit-up occurrences within the prior 500 days. Formula and Python examples are included, although their implementations do not consistently match the prose: for example, the code uses moving-average comparisons and its sample history window is much shorter than the stated lookback.

The author describes the filter as combining trading activity with price history, but supplies no backtest or performance evidence. The note cautions that historical price patterns may not predict future returns and that repeated limit-ups can coincide with speculative behavior and bubbles. It suggests adding fundamental, policy, and trading data. The screen therefore serves as a candidate-selection rule, not a validated strategy, and implementation details should be checked before use.

Key ideas

• The proposed screen requires turnover between 3% and 12%.
• It seeks stocks with three consecutive down days and at least two limit-up events in 500 days.
• The included formula and Python examples do not fully align with the stated conditions.
• The author warns that historical price behavior may not predict future performance.
• The note flags speculative behavior around repeated limit-ups as a source of risk.

Tags

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