Screening Shanghai-Listed Stocks by Turnover and Prior Limit-Ups

Summary

The article outlines a Chinese equity screening rule that selects stocks whose codes begin with 60, have turnover between 3% and 12%, and did not hit the daily price limit on the previous session. It frames the turnover range as a liquidity filter and the prior limit-up exclusion as a way to avoid stocks with recent extreme price moves. It also provides sample selection logic and code references, though these are implementation examples rather than documented tests of the strategy.

The author cautions that the screen omits fuller fundamental and technical analysis and may select weaker companies. The suggested refinement is to add measures such as profitability and growth, include technical factors, and adjust exposure or risk controls when markets become volatile. The document reports no backtest, returns, or comparison against a benchmark, so it does not establish whether the screen is profitable or robust.

Key ideas

• The screen combines a 3% to 12% turnover range with a stock-code prefix filter and exclusion of prior-session limit-ups.
• The turnover band is presented as a way to focus on stocks with moderate trading activity.
• The article warns that turnover and price-limit history alone do not assess company quality.
• It suggests adding fundamental and technical measures and applying risk controls as markets fluctuate.
• The provided examples do not include backtest results or evidence of profitability.

Tags

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