Screening Stocks by Prior Limit-Down Opens, Range, and Turnover

Summary

This Chinese-language note describes an equity screen combining a daily price range above 1%, turnover between 2% and 9%, and a prior-day 9:15 indicative match price at the limit-down level. It frames the setup around the possibility that a limit-down stock may attract attention and buying during active markets, while the range and turnover filters seek stocks with meaningful trading activity. It includes example indicator logic and Python-style selection code, though the examples use different approximations for the limit-down condition and turnover calculation.

The note gives no backtest, performance statistics, or evidence that the screen predicts returns. It cautions that limit-down events may not be followed by buying and that fundamentals, policy, broader market conditions, and risk controls are omitted. Suggested extensions include adding liquidity or fundamental measures, examining capital flows and institutional activity, and applying dynamic exit rules; these are proposals rather than tested improvements.

Key ideas

• The screen combines a price-range threshold with a turnover band and a prior-day limit-down matching-price condition.
• The proposed rationale is that limit-down stocks may draw attention during active markets.
• The document offers example selection logic but no measured performance evidence.
• It flags omitted fundamentals, policy conditions, and risk controls as important limitations.

Tags

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