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

Summary

This document describes an equity screen combining three conditions: turnover between 3% and 12%, a Shanghai-listed stock code beginning with 60, and at least one limit-up event in the prior 25 days. Its accompanying commentary frames the turnover band as a liquidity filter and the recent limit-up condition as a way to select stocks with strong short-term price action. The approach is presented as a selection rule, not as a complete entry, exit, or portfolio strategy.

The article warns that focusing on recent performance can neglect long-term fundamentals and leave the screen exposed to changing market conditions. It suggests adding fundamental measures such as earnings or free cash flow, or pairing the short-term screen with longer-horizon methods. The sample Python illustration checks price changes exceeding 10% in a fixed historical date range for stocks with matching codes. That implementation does not directly enforce the stated turnover band or 25-day lookback, so it should not be treated as a faithful test of the full rule. No performance evidence or risk-adjusted results are supplied.

Key ideas

• The screen selects Shanghai-listed stocks with turnover from 3% to 12% and a limit-up event in the previous 25 days.
• The recent limit-up condition targets stocks with notable short-term price strength.
• The article cautions that short-term price filters may overlook company fundamentals and broader market conditions.
• It suggests adding fundamental measures or combining the screen with longer-horizon approaches.
• The sample code does not fully implement the stated turnover and lookback conditions.

Tags

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