Screening Chinese Stocks by Turnover, Recent Limit-Ups, and Daily Return

Summary

This proposed A-share screen looks for turnover between 3% and 12%, at least one limit-up event within the prior 25 days, and a current gain between negative 5% and positive 2.6%. The article presents the combination as a way to find shares with recent strong attention while avoiding an extreme move on the screening day. It also suggests combining these conditions with other technical indicators or company fundamentals.

The author warns that relying heavily on technical conditions can make a screen inflexible and that unsuitable thresholds can select risky shares. The supplied formula and Python example add implementation details, but some of the code’s filters do not directly match the stated screening logic, so they should not be treated as a verified implementation. No historical test, returns, or risk statistics are reported; the screen is a hypothesis for further evaluation, not demonstrated evidence of an edge.

Key ideas

• The stated screen combines a 3%–12% turnover range with a limit-up event in the prior 25 days.
• It restricts the current daily return to between negative 5% and positive 2.6%.
• The article recommends considering fundamental and additional technical filters.
• No performance test is provided, and the sample code does not fully match the stated rules.

Tags

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