Screening A-Shares by Turnover, Recent Limit-Up Events, and Positive Return

Summary

This post describes an A-share screen combining a bounded turnover range, at least one limit-up event in the recent period, and a positive return condition. The stated intent is to select actively traded stocks with recent market attention while retaining a positive performance filter. Its suggested refinements include adding company fundamentals, asset quality, industry context, and broader market conditions.

The post cautions that the initial rules omit important information about businesses and the market environment, which can produce selection bias and uneven risk across candidates. It includes formula and sample implementation references, but the proposed fundamental and macroeconomic additions are not specified as operational rules. No backtest results, portfolio construction, exit logic, or transaction-cost assessment are given, so the screen is an illustrative selection idea rather than evidence of a profitable strategy.

Key ideas

• The screen combines a specified turnover band, a recent limit-up event, and positive return.
• Turnover and limit-up history are used as proxies for trading activity and market attention.
• The post identifies missing company fundamentals, industry conditions, and broader market context as key limitations.
• It suggests adding financial and market filters but does not define them precisely.
• No performance results or complete trading and risk-management rules are provided.

Tags

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