Screening Chinese Stocks by Turnover, Three-Day Limit-Up, and Broker Lists
Summary
This stock-selection method combines a daily turnover range of 3% to 12% with two recent market signals: a three-session limit-up streak and appearance on the previous day’s broker activity list. The rationale is that the streak captures short-term price strength, the broker list may indicate market attention, and turnover reflects trading activity. The document also gives formula and Python examples for implementing the filters.
The approach is a narrow, short-term momentum screen rather than a complete investment process. It does not assess company finances, industry conditions, or other fundamentals, and the document warns that consecutive limit-ups can be driven by sentiment or institutional flows. The number of qualifying stocks may also be small. It suggests adding technical and fundamental criteria, but reports no backtest, performance evidence, or validated improvement from those additions.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt selects stocks with a three-session limit-up streak and a broker activity-list appearance the previous day.\nThe method treats price strength, market attention, and trading activity as its main selection signals.\nIt omits company fundamentals and may produce few candidates or expose investors to sentiment-driven risk.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.