A-Share Momentum Screen Using Turnover and Position Increases

Summary

This note presents an A-share stock screen based on three market-behavior filters: today's position-increase share above 5%, actual turnover on the previous trading day between 3% and 28%, and a positive 10-day return below 35%. The proposed interpretation is that position increases may indicate investor interest, turnover reflects trading activity, and a bounded positive return identifies stocks that have risen without exceeding the stated ceiling. The document offers no backtest, comparison group, or return statistics to support those interpretations.

The author warns that the screen relies on market behavior and may omit important fundamental information; selected stocks could also fall during an adverse market. Adding financial condition, profitability, and market-share checks is suggested. The accompanying sample code is only illustrative: it provides no validated data workflow, and its chained filtering expressions may not execute as written in common dataframe libraries. Researchers should clarify the position-increase measure, units, timing, and data source before evaluating the screen.

Key ideas

• The screen combines today's position-increase share with prior-day turnover and 10-day price performance.
• The specified thresholds are a position-increase share above 5%, turnover from 3% to 28%, and a 10-day gain above 0% but below 35%.
• The note interprets these filters as signs of investor interest, liquidity, and recent upward movement.
• It recommends adding fundamental checks, while providing no performance evidence.
• The sample code requires validation before use.

Tags

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