A Chinese A-Share Screen for Turnover, Large-Order Flow, and Three Limit-Ups

Summary

This short-term stock screen combines a turnover rate between 3% and 12%, a positive product of price change and net large-order volume, and a three-limit-up run ending the previous day. The post presents the rules as a way to focus on active, currently popular stocks. It includes example screening logic and sample code, but does not provide backtest results or evidence that the conditions predict returns.

The author cautions that the screen omits fundamental analysis and may select stocks vulnerable to sharp reversals when market sentiment changes. A prior three-limit-up sequence does not ensure another rise on the selection day. Suggested refinements include combining technical and fundamental indicators and adjusting risk controls to market conditions. The stated rules are a narrow, short-horizon selection heuristic; implementation details in the examples may not exactly match the prose description.

Key ideas

• The screen requires turnover between 3% and 12% and positive price-change times net large-order volume.
• It also requires a three-limit-up sequence ending on the previous day.
• The post offers example formulas but reports no performance evaluation.
• The author warns that momentum and sentiment can reverse quickly and recommends additional analysis and risk controls.

Tags

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