Short-Term Stock Screening with Turnover, Moving Average, and Limit-Ups

Summary

This Chinese-market stock screen combines three conditions: turnover between 3% and 12%, an opening price within 5% of the 10-day average closing price, and more than two limit-up days during the past 10 days. It is aimed at finding active stocks whose prices are near a short-term trend reference and that have recently shown strong price moves.

The document gives formula and Python examples, but the Python condition for limit-ups counts observations equal to the rolling maximum rather than clearly identifying limit-up events. The article also notes that this screen is simple and may miss company financial and operating conditions. It provides no backtest, performance evidence, execution assumptions, or detailed definition of the limit-up calculation, so results should be treated as candidates for further analysis rather than as a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12%.
• The opening price must be within 5% of the 10-day average closing price.
• It seeks stocks with more than two limit-up days in the past 10 days.
• The article cautions that price and turnover filters omit fundamental business information.
• The sample code’s rolling-maximum condition may not accurately count limit-up events.

Tags

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