Screening Chinese Stocks by Turnover, Broker Rankings, and Recent Limit-Ups

Summary

The post describes a Chinese equity screening rule that selects stocks with turnover between three and twelve percent, a prior-day appearance on the broker ranking list, and a limit-up event within the preceding twenty-five days. It includes example formula logic and a Python-style implementation using turnover, ranking, prior highs, trading volume, and listing-date fields.

The author characterizes the screen as a way to find stocks with recent market attention, but provides no backtest, return series, or evidence that the criteria identify attractive valuations. The post warns that the rules are broad and may select low-quality companies, and recommends adding technical indicators, company fundamentals, and industry context. The supplied examples also encode assumptions about how a recent limit-up is inferred, which users would need to validate against their data definitions and trading calendar.

Key ideas

• The screen combines a bounded turnover range with a broker ranking appearance from the prior day.
• It also requires evidence of a limit-up event within the recent lookback period.
• The post supplies formula and data-frame examples to express the conditions.
• No performance test is provided, and the author notes that the screen omits fundamental quality and broader context.

Tags

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