Screening Chinese Stocks by Turnover, Recent Limit-Ups, and Rising Averages
Summary
This Chinese equity screen combines a turnover range of 3% to 12%, at least one limit-up event in the prior 25 days, and a moving-average condition intended to identify upward divergence. The accompanying discussion frames these filters as proxies for liquidity, market attention, and technical strength. It also suggests assessing fundamentals and liquidity alongside the technical signals.
The document provides indicator and Python examples, but no backtest results or evidence that the screen is profitable. Its implementations are not fully aligned: the formula shown compares prior five- and ten-period averages, while the Python example checks current averages and approximates a limit-up event using recent highs. The author cautions that technical signals can fail and do not account for business quality or financial condition, so the screen is best understood as a candidate-selection rule requiring further evaluation.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt looks for a limit-up event within the preceding 25 days.\nAn upward moving-average relationship is used as a technical filter.\nThe document recommends supplementing technical signals with fundamental and liquidity analysis.\nNo performance evidence is provided, and the sample implementations express some conditions differently.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.