Screen for Turnover, Float Size, and Repeated Limit-Up Sessions

Summary

This Chinese equities screen selects stocks with turnover between 3% and 12%, circulating share capital no greater than 5.5 billion shares, and at least two limit-up sessions in a rolling 500-day window. The stated idea is to combine trading activity and a relatively small float with evidence of prior sharp upward moves. The document describes this as a way to identify stocks with recent strength, but it does not specify when to enter, how long to hold, or how to exit.

The source cautions that chasing short-term strength can encourage herding, missed opportunities, and higher risk. It proposes adding fundamental measures such as valuation and net profit to rank candidates and assess longer-term characteristics. No backtest results or risk-adjusted performance are reported. The included Python example should not be treated as a validated implementation: its stated limit-up-day calculation does not clearly identify limit-up sessions, and its capitalization units and turnover comparisons require checking against the data source. The criteria also need market-specific handling because limit-up rules can vary.

Key ideas

• The screen combines turnover of 3% to 12%, float size up to 5.5 billion shares, and at least two limit-up days over 500 days.
• The selection rationale emphasizes trading activity, smaller floats, and past strong price moves.
• The source warns that chasing short-term strength can increase risk and foster herding.
• It suggests adding valuation and profitability measures to assess fundamentals.
• No strategy performance is reported, and the sample calculation requires validation.

Tags

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