Screening Main Board Stocks by Turnover, Daily Gains, and Recent Limit-Ups

Summary

The document describes a Chinese A-share stock screen combining current trading activity with recent price strength. It selects main-board stocks with turnover between 3% and 12%, a daily gain above 1%, and at least one limit-up session during roughly the past month. The rationale is that moderate-to-high turnover and a positive daily move may indicate active demand, while a recent limit-up serves as a marker of market attention.

It provides example implementations in indicator-formula and Python-like formats, and suggests adding fundamental filters and volatility-related risk measures. It gives no backtest, performance statistics, or evidence that the criteria predict future returns. The screen may omit fundamentally weak companies and exclude promising stocks that do not meet its conditions; its output should therefore be treated as a candidate list rather than a complete investment decision.

Key ideas

• The screen requires turnover between 3% and 12% and a daily gain above 1%.
• It limits candidates to main-board stocks and requires a recent limit-up session within about one month.
• The document frames turnover, daily gains, and limit-ups as indicators of activity and market interest.
• It recommends considering fundamental data and volatility measures as additional filters.
• No empirical performance evidence is provided, and the criteria may exclude otherwise promising stocks.

Tags

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