A-Share Momentum Screen Using Turnover, Recent Limit-Ups, and Order Flow

Summary

The document describes an A-share stock screen combining a turnover range of 3% to 12%, at least one limit-up event in the prior 25 days, and a ratio of external to internal trading volume of at least 1.3. It presents these conditions as signs of active trading and strong market interest, then suggests supplementing the screen with fundamentals and technical indicators.

It also provides formula and Python examples for filtering stocks, retrieving market data, and sorting selected names by price-to-earnings information. The accompanying discussion warns that the order-flow ratio can be affected by market attention and trading conditions, and that concentrated capital can distort signals. No backtest, performance evidence, or validation of the implementation is supplied; the screen is a selection idea, and the source itself recommends further analysis before trading.

Key ideas

• The screen requires turnover between 3% and 12% and a limit-up event within the previous 25 days.
• It uses an external-to-internal trading volume ratio of at least 1.3 as an additional condition.
• The document recommends combining the screen with fundamental and technical analysis.
• Order-flow ratios can reflect transient attention and may not reliably predict future price movement.
• The examples show implementation ideas but provide no performance validation.

Tags

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