Screening Chinese Equities by Turnover, Recent Limit-Ups, and Trading Value
Summary
The document presents a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, at least one limit-up event during the prior 25 days, and previous-day trading value above 60 million. It includes a formula-style expression and a Python example using market data to filter a stock universe, apply exclusions, collect qualifying symbols, and sort the results by price change. The rule is framed as a short-term candidate screen using liquidity and recent price strength.
No backtest results or evidence of predictive performance are supplied. The document itself warns that the screen omits fundamentals and may encourage chasing recent price moves; trading value can also vary with overall market activity. It suggests combining the conditions with fundamental measures or additional indicators, such as moving averages. The code and formula should be checked carefully because the implementation details, data fields, units, and operational assumptions may not match the stated rule exactly.
Key ideas
- The screen requires turnover between 3% and 12%.
- It looks for at least one limit-up event within the previous 25 days.
- It requires previous-day trading value above 60 million.
- The document provides formula-style and Python implementations but reports no performance testing.
- The screen omits fundamentals and may be vulnerable to chasing recent price strength.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.