A-Share Screen for High Amplitude and Prior-Day Turnover

Summary

This short-term A-share screen selects stocks with amplitude above 1%, excludes stocks that closed at the limit-up price on the previous day, and requires the actual turnover rate from two trading days earlier to fall between 3% and 28%. The document presents the combination as a way to focus on volatile, actively traded shares while avoiding stocks that just hit the upper price limit. It frames the criteria as a buy signal, with holding decisions left to the trader.

A formula reference and Python example are provided, but the document reports no test results or evidence that the screen improves returns. The stated concern is that the method relies heavily on recent technical conditions and ignores company fundamentals, leaving it exposed to broader market shocks. Suggested additions include valuation and profitability measures, along with exit and stop-loss rules. The examples would need validation because implementation details may not match the written timing and criteria exactly.

Key ideas

• The screen requires amplitude above 1% and excludes shares that closed limit-up on the prior day.
• It filters on an actual turnover rate between 3% and 28% from two trading days earlier.
• The method is presented as a short-term buy signal for active stocks, without specified holding rules.
• The document gives no performance evidence and recommends adding fundamental checks and exit controls.

Tags

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