A-Share Momentum Screen Using Turnover and Two-Day Highs
Summary
The post outlines a simple A-share stock screen that keeps names with turnover between 3% and 12%, excludes Beijing-listed stocks, and selects for a higher high across the previous two sessions. It presents the rule as a technical approach for finding stocks with recent strength. The post also suggests supplementing the screen with broad market direction, industry themes, and fundamental data rather than relying on the price and turnover filters alone.
The author identifies two limitations: restrictive criteria can leave a small candidate set, and choosing stocks from recent highs without considering the wider market may create one-sided exposure. The document includes formula and Python examples, but supplies no backtest, performance evidence, transaction-cost analysis, or precise portfolio and exit rules. Its description of the comparison across two highs is not fully consistent with the sample code’s date and index handling, so implementation details should be checked before use. The screen is therefore a selection idea, not evidence of a profitable strategy.
Key ideas
- The screen filters A-shares by a turnover range of 3% to 12% and excludes Beijing-listed stocks.
- It uses a comparison of highs across two recent sessions to identify candidate stocks with price strength.
- The post recommends considering market direction, sector themes, and fundamentals alongside the filters.
- Strict criteria can reduce the number of eligible stocks.
- The post provides no evidence from backtesting or live performance, and its sample implementation requires validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.