Screening Chinese Stocks by Turnover, Float Value, and Recent Limit-Ups

Summary

This stock screen narrows candidates to shares with turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan. It also requires a recent limit-up event while excluding stocks that hit the limit on the previous day. The stated rationale is to seek names associated with recent market attention while avoiding the immediate prior day’s limit-up stocks.

The document provides formula-style and Python references, though the sample Python checks market value and limit-up history without implementing the stated turnover range. It offers no backtest or performance evidence and explicitly describes the candidate set as unpredictable and unsuitable as a standalone long-term strategy. It suggests adding technical indicators such as MACD, RSI, or KDJ, but does not define how those filters should be combined or evaluated. The screen is a selection rule, not a complete entry, exit, or portfolio-risk plan.

Key ideas

• The screen restricts candidates to 3%–12% turnover and circulating market value of 5–10 billion yuan.
• It seeks stocks with a recent limit-up event while excluding those that reached the limit on the previous day.
• The proposed rationale is to identify recently active names while reducing emphasis on the immediately preceding session’s limit-ups.
• The sample Python reference does not implement the turnover condition described in the screening logic.
• The document warns that the screen is random in composition and does not establish a durable standalone strategy.

Tags

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