Turnover and Float-Size Screening with a Prior-Day Limit-Up Exclusion

Summary

This Chinese-equity screening rule selects stocks with turnover between 3% and 12%, circulating share capital no greater than 5.5 billion shares, and no limit-up on the previous day. The article’s final formulation describes a circulating market-value range from 100 million to 5.5 billion, so its share-count and market-value descriptions are not fully consistent.

The screen is framed around trading activity and recent market sentiment, while removing stocks that may have recently become overheated. The note does not provide backtest results, performance statistics, or evidence that these filters improve returns. It cautions that the rule omits company fundamentals and longer-term prospects, and could exclude stocks that continue rising after a strong session. It suggests combining technical and fundamental inputs, including measures such as KDJ, MACD, valuation, and return on equity, with time-series analysis. The supplied example code’s exclusion condition also appears not to match the stated prior-day limit-up rule, so implementation details require care.

Key ideas

• The stated screen applies a 3%–12% turnover range and excludes stocks that hit the limit-up price the previous day.
• The article gives conflicting descriptions of the float constraint as share capital and as market value.
• The rule offers no reported backtest or return evidence.
• The note warns that the screen may miss continuing winners and ignores fundamentals and longer-term prospects.

Tags

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