Screening Chinese Main Board Stocks by Turnover, Daily Gain, and Limit-Ups

Summary

This post describes a Chinese A-share screening rule for main board stocks that are not specially treated. It selects stocks with turnover between 3% and 12%, a daily gain above 1%, and at least two limit-up events within a stated 500-day lookback. The article frames turnover and recent price strength as signs of activity and market attention, then provides indicator and Python examples for implementing the screen.

The approach favors short-term momentum and high-interest stocks. The post cautions that this focus can overlook long-term company fundamentals, and suggests adding measures such as valuation, margins, earnings, or technical indicators. It gives no backtest results or evidence that the criteria produce positive returns. The code sample and indicator expression should be checked carefully against the intended lookback and data definitions before use.

Key ideas

• The screen combines a turnover range, a positive daily move, and a history of limit-up events.
• It restricts the universe to non-ST main board stocks.
• The selection logic emphasizes short-term activity and price strength over long-term fundamentals.
• The post provides implementation examples but no performance evidence.
• The examples should be validated against the intended lookback and data definitions.

Tags

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