Equity Screening with Turnover, Recent Limit-Ups, and Historical Returns

Summary

This post presents an equity screen using a turnover range of 3% to 12%, at least one limit-up event during the prior 25 days, and a historical filter associated with 2021. It frames turnover as a measure of trading activity and a recent limit-up as a sign of market attention. The post’s prose also proposes fundamental filters such as stable revenue and strong earnings, but these are not clearly specified in the stated selection rules. Code examples are included, though the conditions shown may not align cleanly with the prose description.

The post offers no portfolio construction rules or backtest results. It warns that the screen omits fundamentals and may suffer from selection bias or fail as market conditions change. The historical-date condition is especially ambiguous in the code and description, so the exact selection universe and point-in-time validity are unclear. Treat it as an incomplete screening concept rather than evidence of an effective strategy.

Key ideas

• The stated screen combines turnover between 3% and 12% with a recent limit-up event and a 2021-related filter.
• The post interprets turnover as activity and a limit-up as a sign of market interest.
• Its code and prose do not fully agree on the historical and fundamental filters.
• No backtest is provided, and the post warns about omitted fundamentals, selection bias, and changing market conditions.

Tags

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