Screening Stocks with Turnover, Recent Limit-Ups, and Trading-Board Activity

Summary

This note describes a Chinese stock screen requiring turnover between 3% and 12%, appearance on the prior day’s trading activity list, and at least one limit-up event within the past month. It frames these conditions as a way to identify actively traded stocks with recent strong price action. Formula and Python examples are included to illustrate filtering by turnover and event flags.

The document offers no backtest results or other evidence that the combination predicts future returns. It warns that a screen based mainly on recent activity may miss company fundamentals and industry differences, and can be vulnerable to market reversals. It recommends adding financial, industry, and technical analysis. The example code uses event flags but does not clearly show how the lookback window or prior-day list status is calculated, so those data definitions must be checked before implementation.

Key ideas

• The screen combines turnover between 3% and 12% with recent limit-up activity.
• It also requires the stock to have appeared on the previous day’s trading activity list.
• The article cautions that recent activity filters can overlook fundamentals and industry context.
• The examples do not establish predictive performance or fully define the event data.

Tags

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