A-Share Screen for Moderate Turnover, Three Down Days, and Recent Limit-Ups

Summary

This document describes a short-term A-share screen combining turnover, recent price declines, and limit-up activity. It selects stocks with turnover between 3% and 12%, three consecutive falling sessions, and more than two limit-up days within the prior ten days. The stated rationale is to find active, popular stocks that have recently pulled back while retaining signs of strong demand.

The post supplies indicator formulas and sample Python code, but the examples do not consistently implement the stated conditions: the formula refers to moving-average declines and ten-day lows, while the Python checks a ten-day return and appears to count available rows rather than limit-up events. No backtest results or performance evidence are provided. The author flags the omission of company fundamentals and industry characteristics, the subjectivity of short-term sentiment signals, and the risk of chasing recent gains. Suggested refinements include adding fundamental and technical measures and applying explicit exit and risk controls.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt combines three consecutive down sessions with more than two limit-up days in a ten-day window.\nThe post gives formula and Python examples, but their conditions do not clearly match the stated strategy.\nIt provides no empirical performance results and warns that short-term sentiment can obscure fundamentals.\nThe author suggests adding other indicators and defining stop-loss and take-profit rules.

Tags

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