Screening Shanghai-Listed Stocks by Turnover and Prior Limit Moves

Summary

The document presents a Chinese equity screening rule: select stocks whose codes begin with 60, whose turnover rate falls between 3% and 12%, and that did not hit the upper price limit on the previous day. It also includes a Python example that retrieves a stock list and daily market data, checks percentage changes and turnover, and records the most recent qualifying date for each stock within the specified calendar range.

The accompanying discussion warns that the screen omits company fundamentals and broader price and market context. The example uses a percentage-change cutoff as a proxy for identifying limit moves, so its suitability may vary with security-specific trading rules and data conventions. No backtest results or evidence of returns are supplied; the filters describe a candidate universe, not a validated strategy.

Key ideas

• The screen combines a stock-code prefix, a turnover range, and the previous day's limit-move status.
• The Python example queries stock, daily-price, calendar, and turnover data to find qualifying records.
• The rule excludes fundamental measures and broader industry or market context.
• The document reports no performance evidence, and its limit-move proxy may need market-specific validation.

Tags

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