A-Share Reversal Screen Using Turnover and Prior-Day Activity

Summary

This A-share screening recipe combines a reversal pattern with turnover filters. It selects stocks whose current turnover is between 3% and 12% and whose previous-day turnover exceeded 8%, while also requiring a reversal or engulfing-style price pattern. The post includes formula and Python examples and limits the example universe to listed Shenzhen shares. It provides no backtest, return figures, or evidence that the pattern predicts subsequent performance.

The author presents turnover as a way to identify liquid, recently active stocks and suggests that pairing it with the reversal condition may help find market interest. The method omits company fundamentals, and the post notes that unusually high turnover can accompany sharp price rises and risk. It suggests adding valuation measures or using machine learning to tune parameters, but does not explain how to validate such changes. The pattern definition and implementation are not fully consistent or clearly specified, so the selection criteria may need careful verification before research use.

Key ideas

• The proposed screen requires current turnover between 3% and 12% and prior-day turnover above 8%.
• It also uses a reversal or engulfing-style price condition.
• The example focuses on listed Shenzhen shares.
• The post warns that the screen omits fundamentals and that high turnover may accompany risky price surges.
• No performance testing is presented, and the reversal rule is not fully specified.

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