SuperMind 'turnover 3-12%, limit-up within 25 days, rising bottoms' screen on CNEQ A-shares: buy the next open after a 60-day-high breakout with full MA alignment, higher lows and a recent limit-up, exit on close below EMA(8), ATR stop, 20-session cap (CNEQ 1-DAY panel, long-only)

Derived by the Research Lead from 神盾局量子研究部, '(supermind量化策略)换手率3%-12%、前25天有涨停、底部抬高' (同花顺 SuperMind, 2023-08-30, https://quant.10jqka.com.cn/view/article/21740): the source is a stock SCREEN with no exits or sizing, and its two code listings are partly garbled, so these rules are my operationalization, not the author's strategy. What comes from the source: (1) a stock must have had a limit-up (涨停, pct_chg >= 9.9%) within the previous 25 sessions; (2) an activity band (70th percentile of daily turnover over 25 sessions between 3% and 12%); (3) 'bottom raising' plus the code's trend block: Uptrend = MA5>MA10>MA20>MA30>MA60, MA_UP = MA20>MA60>MA120>MA250, and v1's breakout clause MA5>MA60 AND close above the 60-day highest high; (4) the TDX line using EMA(CLOSE,8), which I use as the exit line. What I chose and why: (a) Market: CNEQ China A-shares daily bars (the source's own market; 311 names in the catalog, daily history from 2018), long-only cash, no leverage. (b) TURNOVER SUBSTITUTION: the platform holds no free-float share counts, and on our large-cap universe a literal 3-12% daily turnover band would almost never pass, so the activity band is restated per stock as act_ratio = 70th percentile of daily volume over the last 25 sessions / median daily volume over the 250 sessions before that window, required in [act_low, act_high] (baseline 1.2-4.0): 'unusually active but not a frenzy' relative to the stock's own norm. This is a proxy for, not a measurement of, turnover rate. (c) The source Python compares close to a 60-day high that INCLUDES today (impossible to exceed) and also requires today's low below the 60-day range midpoint; I read the breakout as close > highest high of the PRIOR 60 sessions and drop the midpoint clause (it would require a single-day range over half the 60-day range). (d) 'Bottom raising' (底部抬高) is operationalized textbook-style as higher swing lows: min(low, last 10 sessions) > min(low, the 10 sessions before those). (e) Board-aware limit-up: a day counts as limit-up when close/prev_close - 1 >= lu_frac x board limit, board limit = 20% for codes 300xxx/301xxx (from 2020-08-24) and 688xxx, else 10%; baseline lu_frac 0.95. (f) Exits, sizing, stop and slot count are standard choices named below. Execution: decisions on the daily close fill at the NEXT session's open (platform rule for session venues, supported); the ATR protective stop is a submit_stop_order resting from the next open (stop_order_session_venue supported; gap-through fills at the open). T+1 is respected because the earliest exit decision is on the entry day's close, filled the next morning. Limit-up-locked entries are avoided by skipping a signal whose own day closed >= 9.5% up (coder rule: never trade into limit-up). Universe is point-in-time to the extent the platform allows: a name is eligible only when is_listed() and it has >= 260 daily bars at the signal date; residual survivorship (the CNEQ list is today's large-cap leaders, not historical index membership) is a stated risk. Fee arithmetic: CNEQ round trip ~0.10% commission/stamp plus ~0.05% spread/impact = ~0.15%. Breakout entries after recent limit-up participation on A-shares with ~2.5-3% daily volatility and an expected hold of ~8-12 sessions should capture roughly 0.8-1.2% gross per trade; predicted net >= 0.6%, i.e. 4x cost. Firing rate: the 302 names with >=300 bars show ~6,000 limit-up-class days (>=9.5%) over ~2,400 stock-years, so the limit-up precondition is common; after the trend, breakout and higher-low filters I expect roughly 300-600 entries over 2018-2026, far above the ~10/year minimum. Prior CNEQ technical ports (KDJ/MA-compression, ADX, morning star) ended no_edge; this one differs in conditioning on a recent limit-up (attention/participation shock) plus a fresh 60-day breakout, i.e. A-share momentum-continuation, not a reversal or oscillator cross.