Metaverse Stock Screening with Turnover and Limit-Up Filters

Summary

The document describes a Chinese A-share screening rule that selects stocks in a metaverse category, requires a recent increase in trading volume, and excludes stocks whose prior-day price move exceeded a limit-up threshold. It presents the rule in indicator-formula and Python examples, alongside general suggestions to add financial analysis and risk controls. The stated rationale is to focus on a market theme while filtering out some stocks associated with crowding and sharp price moves.

The examples have important limitations. The stated condition is yesterday’s turnover above 8%, but the formula compares current volume with prior volume, which measures relative volume rather than turnover as a share of shares outstanding. The Python example also divides volume by price, so it does not faithfully implement the stated turnover condition. No backtest, performance evidence, or validation of the category mapping is provided; the screen is a selection rule, not evidence of a profitable strategy.

Key ideas

• The screen targets stocks assigned to a metaverse category.
• It aims to require elevated recent trading activity and filter out prior-day limit-up stocks.
• The provided formulas do not consistently implement the stated turnover-rate condition.
• The document recommends adding fundamental analysis and risk controls, but provides no performance test.

Tags

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