A-Share Screen for Three Down Days and Moderate Turnover

Summary

This Chinese A-share screening idea combines turnover between 3% and 12%, three consecutive declining sessions, and exclusion of ST-designated stocks. It proposes selecting the five highest-ranked stocks that hit their daily price limit, with selection intended to happen before the open. The article also sketches indicator-formula and Python implementations, including checks for declining closes, limit prices, and ranking.

The rationale is that turnover and recent price weakness narrow the candidate set, while the price-limit and ranking filters identify active stocks. However, the document provides no backtest, performance evidence, or precise operational account of how the pre-open screen can identify stocks that will hit the limit later that day. It also acknowledges that the rule omits fundamentals and other relevant factors. The code examples should be treated as illustrative: their data handling and condition logic do not fully demonstrate a validated, executable strategy.

Key ideas

• The screen combines turnover between 3% and 12% with three consecutive declining sessions.
• It excludes ST-designated stocks and targets the five highest-ranked daily limit-up stocks.
• The article offers formula and Python sketches but no evidence of tested performance.
• The proposed filters omit fundamentals and may carry substantial selection risk.

Tags

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