A Chinese A-Share Screen for Turnover, Gains, Volume, and Gaps

Summary

This stock-selection rule targets main-board Chinese equities showing turnover between 3% and 12%, a daily gain above 1%, volume above 10,000 lots, and a qualifying gap-up condition. The post gives formula references for the gap and volume filters, plus a Python example that applies the conditions to the latest row for each stock. It also excludes codes marked with a particular exchange prefix and those containing an ST designation. The strategy is presented as a screen for active stocks with positive price movement and a strong open.

The accompanying rationale links turnover and volume with activity, and the gain and gap conditions with potential opportunity. It warns that the rule omits company fundamentals and that a high open does not ensure continued strength. Suggested improvements include adding fundamental and technical measures, such as MACD or KDJ, and considering industry selection. No backtest results, holding period, exit rules, or risk controls are provided, so the selection logic alone does not establish profitability or stability.

Key ideas

• The screen combines turnover, daily gain, trading volume, board membership, and gap-up conditions.
• The example code applies the filters to each stock's latest observation and excludes ST-designated names.
• The post frames activity and positive price movement as the rationale for the selection criteria.
• It cautions that technical filters omit fundamentals and that a high open cannot predict follow-through.
• No backtest, holding period, exit rule, or risk management method is supplied.

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