Combining Turnover Ratio, Prior Limit-Down Pricing, and Limit-Up Frequency

Summary

This Chinese stock-selection rule combines three filters: rank stocks among the top 100 by volume ratio, rank the top 100 by the absolute difference between the previous day’s limit-down price and opening price, and require at least two limit-up days within the prior ten days. The document presents these measures as proxies for trading attention, price movement, and recent strength.

The note supplies a rationale and partial Python setup using market data tools, but it does not show a complete implementation, backtest, candidate list, or performance evidence. It warns that market sentiment and policy can affect these signals, and that the screen leaves out other relevant factors. Suggested additions include turnover, valuation, and trend indicators. As presented, the method is a descriptive screening idea, and its ranking definitions and signals would need careful validation before use.

Key ideas

• The screen ranks stocks by volume ratio and by a prior-session limit-down-to-open price difference.
• It also requires at least two limit-up sessions within the preceding ten days.
• The document gives no backtest results or evidence that the combined screen is profitable.
• Market sentiment, policy, and omitted variables may weaken the signals.

Tags

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