Combining Turnover, Reversal Candles, and Prior Limit-Ups

Summary

This Chinese stock-selection note screens for shares with turnover from 3% to 12%, a reversal-style candle pattern, and at least two limit-up days within the prior 500 days. It presents the conditions as a combination of trading activity, price behavior, and evidence of past sharp moves. Formula and Python examples are included; the Python sketch derives a candle-shape measure from daily highs, lows, and the previous close, then counts large positive daily changes across a rolling 500-session window.

The author warns that the screen omits fundamental measures such as market value and profitability, and that limit-up frequency may be influenced by interested parties. The note recommends adding fundamental, technical, and volume-price filters and checking whether the number of limit-ups is reasonable. It gives no backtest or return evidence, and the examples contain implementation details that may need verification, including the reversal-pattern definition and whether the price-change threshold correctly identifies limit-up days across different stocks.

Key ideas

• The screen requires turnover between 3% and 12%, a reversal candle, and at least two limit-up days in 500 days.
• The Python sketch uses daily candle data and rolling counts of large positive price changes.
• The strategy omits fundamental filters and may be vulnerable to distortions in limit-up counts.
• No performance results are given, and the example implementation needs validation.

Tags

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