Screening for Active Stocks with Recent Limit-Up Moves

Summary

This Chinese equity screen combines trading activity with a recent price event. It selects stocks with turnover between 3% and 12%, requires at least one limit-up event during the preceding 25 days, and excludes stocks that hit the limit-up level yesterday. The note interprets the turnover band as a filter for active trading and the prior limit-up as a sign of market attention. It includes a technical formula reference and the beginning of a data-access example, but no complete, reproducible implementation or backtest results.

The rationale is to seek stocks with recent momentum while avoiding names whose most recent session already showed an extreme rise. The document cautions that past price moves do not ensure future gains and that the selection ignores fundamentals, potentially including weaker companies. It suggests adding other indicators and fundamental analysis, but does not test whether those changes improve performance. The turnover and price-event rules should therefore be read as screening criteria, not evidence of a profitable strategy.

Key ideas

• The screen requires turnover between 3% and 12%.
• It includes stocks with a limit-up event in the prior 25 days and excludes yesterday’s limit-up stocks.
• The note treats turnover as a measure of trading activity and recent limit-ups as evidence of market attention.
• Past price behavior may not predict future returns, and the screen omits fundamental analysis.
• No backtest or performance evidence is provided.

Tags

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