Screening Stocks by Turnover and Recent Limit-Up Activity

Summary

This stock screen looks for turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and no limit-up on the previous day. The stated rationale is to find liquid, actively followed stocks with a recent strong move, followed by a possible short-term entry opportunity. The document also provides formula and Python examples for implementing the conditions, although the code's data handling does not fully establish that every part matches the stated rule.

The author identifies risks from chasing short-term themes and sensitivity to market-wide moves. Suggested refinements include adding financial measures, technical trend indicators, and adjustments for individual stocks and broader conditions. No backtest results, benchmark, holding period, exit rule, or transaction-cost analysis is supplied, so the screen should be treated as a candidate-generation idea rather than evidence of profitability.

Key ideas

• Require turnover between 3% and 12% and a limit-up event during the prior 25 days.
• Exclude stocks that were limit-up on the previous day.
• The proposed rationale is that recent strength and a pause may offer a short-term entry setup.
• Short-term theme exposure and market-wide risk are acknowledged concerns.
• The document gives implementation examples but no performance test or complete trading plan.

Tags

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