Stock Screening by Turnover, Daily Gains, and Prior Limit-Up Status

Summary

The document presents a Chinese-market stock screen that selects main-board shares with turnover between 3% and 12% and a daily gain above 1%, while excluding shares that closed at their upper price limit the previous day. It frames turnover as a measure of trading activity and the daily move as a momentum filter. The post also gives example screening logic and mentions data fields such as turnover, percentage change, and limit status.

No performance results, benchmark, holding period, or portfolio construction rules are provided, so the screen should be treated as a selection heuristic rather than a validated strategy. The source itself warns that the rules omit fundamental company quality and suggests adding financial measures and market-risk indicators. Its example snippets also appear inconsistent with the stated conditions in places, including the sign of the return calculation and a code example that narrows the universe differently. Those discrepancies require resolution before implementation or backtesting.

Key ideas

• The screen targets main-board shares with turnover between 3% and 12% and a daily rise above 1%.
• It excludes stocks that reached the upper price limit on the previous day.
• The rules combine recent price momentum with a measure of trading activity.
• The post provides no evidence of returns or risk-adjusted performance.
• The written criteria and example code contain inconsistencies that should be checked before use.

Tags

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