Chinese Stock Screen Using Turnover, Recent Limit-Ups, and Moving Averages

Summary

This Chinese stock-selection post describes screening for turnover between 3% and 12%, at least one limit-up event in the preceding 25 days, and a weekly five-period moving average crossing above the ten-period average. It presents the combination as a way to select shares with recent activity and a bullish technical signal. A reference formula and Python example are included, along with a note that additional technical, fundamental, or volatility measures could be considered.

The explanation cautions that short-term technical filters do not assess company fundamentals or long-term direction. The implementation shown also appears to use daily bars and rolling calculations in places, rather than clearly matching the stated weekly crossover and limit-up conditions, so the code should not be assumed to implement the prose exactly. No backtest results, transaction costs, or risk analysis are supplied; the screening rules alone do not establish predictive performance.

Key ideas

• The screen requires turnover in the stated 3% to 12% range.
• It selects stocks with at least one limit-up event during the prior 25 days.
• The stated trend filter is a weekly five-period moving average crossing above the ten-period average.
• The author notes that short-term technical filters omit fundamental and long-term trend information.
• The sample code's bar frequency and calculations may not align fully with the written rules.

Tags

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