Screening 2021 IPOs by Turnover and Prior-Day Price Limit

Summary

This note describes a Chinese equity screen for stocks listed in 2021, with turnover between 3% and 12%, that did not close at the upper price limit on the prior day. It presents the conditions as a way to combine trading activity, listing vintage, and a recent price constraint when generating candidates.

The document provides no backtest, performance results, or evidence that these filters improve returns. Its accompanying sample code also adds IPO price and issuance-size filters, and its price-limit check uses a fixed percentage threshold, so the implementation does not exactly match the stated screen across all securities or market rules. The note flags limitations such as ignoring valuation and growth, reliance on historical data, and rigid thresholds. Industry, market activity, and company financial measures are suggested as possible additional filters.

Key ideas

• The screen selects stocks listed in 2021 with turnover between 3% and 12%.
• It excludes stocks that closed at the upper price limit on the previous day.
• The sample implementation includes extra IPO price and issuance-size conditions beyond the headline logic.
• The document gives no performance evidence and warns that fixed thresholds and omitted fundamentals may limit the screen.

Tags

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