Screening Stocks by Turnover, Recent Gains, and Limit-Up Frequency

Summary

The document describes a short-term Chinese equity screen combining turnover, recent price performance, and limit-up frequency. It selects stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and more than two limit-up sessions during the 10-day period. The discussion interprets repeated limit-ups as a sign of recent attention and strong price activity.

The article warns that this approach is exposed to market sentiment, hot themes, abrupt volatility, and losses from pursuing limit-up moves. It suggests broadening the screen with technical and fundamental measures, then setting indicator weights deliberately. A code example illustrates a related workflow, but its implementation details and date handling may not exactly match the stated screening rules. No backtest results or evidence of predictive performance are provided, so the screen should be treated as a strategy idea rather than a validated approach.

Key ideas

• The screen combines turnover between 3% and 12% with a positive 10-day gain below 35%.
• It requires more than two limit-up sessions during the 10-day lookback.
• Frequent limit-ups may indicate attention and momentum, while increasing exposure to sentiment-driven volatility.
• The article proposes adding technical and financial indicators to broaden the selection process.
• The document provides no performance evaluation, and the example code may not fully implement the stated rules.

Tags

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