Screening Stocks by Trading Range, Turnover, and Past Limit-Ups

Summary

This stock selection method combines three filters: daily amplitude above 1, prior-day actual turnover between 3% and 28%, and at least two limit-up days within the past 500 days. The document gives example formulas and Python-style code for applying these conditions, then describes using the resulting list as a starting point for investment selection.

The approach targets stocks with notable price movement and trading activity, plus a history of sharp gains. The document provides no backtest, performance figures, or evidence that these traits predict future returns. It also leaves important implementation details unclear: the amplitude threshold’s scale is ambiguous, and the turnover calculation in the examples may not match the stated prior-day actual-turnover condition. It flags market and individual-stock risks, including possible manipulation, and suggests adding factors such as money flows or market capitalization alongside risk management and asset allocation.

Key ideas

• The screen requires daily amplitude above 1 and prior-day actual turnover from 3% to 28%.
• It also requires at least two limit-up events during the previous 500 days.
• The document provides example formulas and code but no backtest evidence.
• It recommends considering additional factors and applying risk controls.

Tags

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