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

Summary

This note describes a simple Chinese equity screen: select stocks with codes beginning with 60, turnover between 3% and 12%, and at least two limit-up sessions within a 500-day lookback. Its Python example checks historical prices and daily turnover, then records the most recent date a stock meets the criteria. The article also gives a basic rationale: repeated limit-ups may identify stocks that have attracted speculative interest.

The rule is presented as a screening idea, not a tested trading strategy. The document supplies no performance results or evidence that the conditions predict future returns. It cautions that limit-up history can reflect speculation and may include weak companies; the broad lookback can produce false positives. It suggests adding fundamental filters such as profitability and valuation, and refining the limit-up requirement. The example's implementation details and data handling would need validation before use.

Key ideas

• The screen combines a turnover range, a Shanghai stock-code prefix, and a minimum count of limit-up sessions.
• The lookback spans 500 days, and the example records a stock's latest qualifying date.
• Repeated limit-ups may signal speculative attention but do not establish future performance.
• The document recommends adding fundamental criteria and tightening the limit-up condition.

Tags

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