Chinese Stock Screening by Turnover, Recent Limit-Ups, and Listing Age

Summary

This Chinese equity screen selects stocks with turnover from 3% to 12%, at least one limit-up event within the previous 25 days, and a listing history longer than five years. The post presents turnover as a liquidity filter, a recent limit-up as a sign of market attention, and company age as a way to favor established listings.

It offers formula and Python references, though their implementations do not align perfectly with the written rule: the Python example checks rolling highs rather than directly identifying limit-up events and applies an additional listing-age range. The author describes the age requirement as potentially too restrictive for newer companies and suggests adding financial and growth measures or short-term volatility. The document supplies no backtest results or evidence that the filters improve returns, so it should be read as a screening proposal rather than a validated strategy.

Key ideas

• The screen combines turnover of 3% to 12%, a limit-up event in the prior 25 days, and a listing age over five years.\nRecent limit-up activity is treated as a proxy for market attention.\nThe listing-age rule may exclude younger companies with growth potential.\nThe accompanying code appears to differ from parts of the stated selection logic.\nNo performance results are reported.

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