A-Share Reversal Screen Using Turnover, Reversal Patterns, and Auction Returns

Summary

This document proposes screening main-board stocks for turnover between 3% and 12%, a reversal or engulfing-style setup, and an auction-period return between -2% and 5%. The stated logic combines a minimum level of trading activity with a price-reversal pattern and a bounded opening move. The examples describe measuring the reversal pattern from daily price ranges and comparing the opening price with a volume-weighted reference price.

The author cautions that the screen uses technical and trading data without assessing company fundamentals, and that auction returns alone may not reliably characterize subsequent price movement. Suggested additions include valuation, profitability, dividends, and policy or fundamental context. The supplied code is illustrative and uses market-data operations whose correspondence to the stated filters is not fully clear. The document reports no backtest or observed performance, so it does not establish that the screen identifies profitable reversals.

Key ideas

• The proposed screen combines a 3%–12% turnover range, a reversal pattern, and an auction return bounded between -2% and 5%.
• The reversal measure is described using the stock’s daily price range.
• The document recommends adding fundamental and policy information to the technical screen.
• No backtest results are presented, and the example implementation requires validation.

Tags

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