A-Share Opening Screen by Turnover, Code Prefix, and 9:25 Price Change

Summary

This note describes a stock screen for shares whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose price gain at 9:25 is below 6%. It presents turnover as a liquidity filter and the early price move as a rough indicator of market sentiment and short-term volatility. A Python example illustrates retrieving stock listings and market data, filtering candidates, and sorting the output by market capitalization.

No backtest, performance statistics, or evidence of predictive value is provided. The note cautions that a narrow screen can produce concentrated selections and omit important influences such as fundamentals, industry conditions, and policy changes. The example code also includes a market index price-change check, a market-capitalization filter, and a ranking step, details beyond the stated headline rule. These implementation details and the reliability of intraday data should be reviewed before interpreting its output as a live selection.

Key ideas

• The stated screen uses a 3%–12% turnover range and stocks with codes beginning with 60.
• The opening price-change condition is a gain below 6% at 9:25.
• The note links turnover to liquidity and the early move to short-term sentiment.
• The code example adds market-capitalization and index-based conditions beyond the headline rule.
• The document warns that the screen omits fundamental and broader market factors and provides no performance evidence.

Tags

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