Screening Chinese Stocks by Turnover, Recent Limit-Ups, and Moving Averages

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, at least one limit-up event in the preceding 25 days, and a 20-day moving average above the 120-day average. The article frames these rules as a way to combine moderate trading activity, recent strong price action, and a short-term trend filter. It supplies indicator and Python examples, including a minimum market-cap condition and filters related to stock status and listing history.

No backtest results or benchmark comparison are reported, so the document offers a screening recipe rather than evidence that the combination has predictive value. It notes that moving averages lag price changes and that the rules omit company fundamentals and longer-term prospects. Suggested additions include valuation, profitability, balance-sheet, and industry measures, as well as further testing of moving-average periods. The implementation details are not fully consistent: the stated criterion is a limit-up event, while the Python example checks rolling highs, and its turnover condition uses a quantile. These choices would need clarification before the screen could be reproduced reliably.

Key ideas

• The screen requires turnover from 3% to 12%, a recent limit-up event, and the 20-day average above the 120-day average.
• The rules target stocks with moderate turnover, recent price strength, and an upward trend filter.
• The example also applies market-cap and stock-status filters.
• Moving averages lag, and the screen does not initially account for fundamentals.
• The article supplies no performance evidence, and its example differs from the stated limit-up rule.

Tags

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