A-Share Pullback Screen Using Turnover and Intraday Drawdown

Summary

This proposed A-share screen keeps stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and selects those whose day’s decline from the high to the close falls between 4% and 5%. The article presents the rule as a possible dip-buying or rebound approach, using a sizeable intraday fall to identify candidates. It also discusses adding financial and technical measures so selection reflects more than a single day’s price movement.

The stated risks include sensitivity to market moves, trading mistakes during sharp price changes, and dependence on a narrow signal that may overlook a company’s underlying condition. The post cautions against following price swings without considering value, performance, prospects, and market context. It supplies a formula and sample data-fetching code, but no backtest, return figures, or evidence that a rebound follows the specified drawdown. The examples should be checked against the full turnover and listing exclusions, which are not implemented in the code shown.

Key ideas

• The screen combines 3%–12% turnover, exclusion of Beijing-listed A-shares, and a 4%–5% fall from the day’s high to its close.
• The author presents the setup as a potential dip-buying screen for rebound candidates.
• The article recommends considering financial and technical information alongside price movement.
• Sharp moves and reliance on a narrow signal can lead to mistakes and overlooked company risks.
• No performance evidence is supplied, and the sample code omits some stated screening conditions.

Tags

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