Screening Stocks by Turnover and Recent Limit-Up History

Summary

This Chinese equity screen selects stocks with turnover rates between 3% and 12%, at least one limit-up event in the prior 25 days, and at least two limit-up events within 500 days. The post presents these filters as a way to combine trading activity with recent evidence of strong price moves. It also suggests evaluating fundamentals and earnings alongside the technical criteria.

The article includes indicator and sample-code references, but no backtest results or evidence that the conditions forecast returns. It cautions that a technical screen can overlook profitability, business quality, and financial condition, and that market sentiment or changing expectations can weaken its effectiveness. The code’s rolling-window implementation may not faithfully represent the written event-count conditions, so the definitions and lookback logic should be checked before use.

Key ideas

• The screen requires turnover between 3% and 12%.
• It looks for a limit-up event in the prior 25 days and at least two within 500 days.
• The post proposes adding fundamental and industry measures to the technical screen.
• It warns that technical filters can miss business and financial risks.
• No performance test is reported, and the sample implementation may differ from the written rule.

Tags

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