Screening Chinese Stocks by Turnover, DEA Trend, and Recent Limit-Ups

Summary

This stock-selection note describes a screen combining a 3%–12% turnover range, a rising DEA condition, and three consecutive limit-up sessions. The accompanying indicator formula expresses the trend filter through moving-average relationships, while the example Python filter uses turnover and daily percentage changes above 9.8% to represent the limit-up streak. The post explains the rationale as seeking active stocks with upward momentum, and warns that a stock with repeated limit-ups may already be overbought and vulnerable to a pullback.

There is an inconsistency in the stated rules: the final selection logic switches from requiring three consecutive limit-ups to selecting stocks that rose by the limit yesterday. The provided Python example also filters on percentage changes for multiple days, while the displayed technical formula checks current and prior sessions. The post offers no backtest results or evidence that the screen is profitable. It suggests adding indicators such as RSI or revising the limit-up condition, but gives no tested optimization or execution guidance.

Key ideas

• The proposed screen combines turnover between 3% and 12% with a rising DEA-related trend condition.
• The initial rule seeks stocks with three consecutive limit-up sessions.
• Repeated limit-ups may signal strong short-term momentum but can also precede a pullback.
• The final rule changes the streak requirement to a limit-up on the previous day, so the specification is inconsistent.
• The post provides formulas and a Python screening example but no performance evidence.

Tags

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