Chinese Stock Screen for Turnover, Reversal, Liquidity, and Recent Limit-Ups

Summary

This post describes a short-term Chinese stock selection screen combining a turnover-rate range of 3% to 12%, a reversal or engulfing-style condition, prior-day trading value above 60 million, and a limit-up occurring before 10 a.m. within the recent five-day window. It gives formula and Python examples and describes filters for non-special-treatment and main-board stocks. The implementation estimates the reversal condition from the day’s high, low, and previous close, and applies a recent limit-up filter.

The post acknowledges that the screen focuses on short-term price behavior and may miss otherwise attractive stocks. It warns that omitting fundamental and technical context creates prediction risk, and that pursuing limit-up stocks can raise risk. It suggests adding valuation and momentum measures. The examples are illustrative and contain date-specific fields and implementation details that may need checking against current data definitions; no backtest results or evidence of profitability are reported.

Key ideas

• The screen combines turnover between 3% and 12%, a reversal condition, prior-day trading value above 60 million, and a recent early-session limit-up.
• The post supplies formula and Python examples for implementing the filters.
• It warns that focusing on recent limit-up behavior omits broader fundamental and technical analysis.
• The author suggests adding valuation and momentum measures, but provides no performance evidence.

Tags

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