Screening Stocks by Turnover, Reversal, and Recent Limit-Ups

Summary

This document describes a Chinese equity screen that looks for stocks with turnover between 3% and 12%, a reversal pattern, and at least one limit-up event during the prior month. Its stated rationale is to identify recently popular stocks while using turnover and reversal conditions to filter candidates. It also gives an indicator formula reference and a Python example that applies rolling price and liquidity filters.

The document warns that the screen may encourage chasing recent winners or taking overly contrarian positions, and that stocks with recent limit-ups can pull back. It suggests adding market-heat and sector measures, but provides no performance results or evidence that the filters improve returns. The code examples do not fully establish that their conditions match the prose definition, so implementation details and validation would need care.

Key ideas

• The screen combines a 3%–12% turnover range with a reversal condition and a limit-up during the previous month.
• Recent limit-up activity is used as a proxy for market attention and momentum.
• The document flags pullbacks and indiscriminate chasing as key risks.
• Market and sector indicators are proposed as additional filters, without reported test results.

Tags

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