A-Share Screen for Turnover, 2021 Listings, and Buy-Sell Volume Imbalance

Summary

This A-share screening rule selects stocks with turnover between 3% and 12%, an IPO year condition, and a ratio of outside-market to inside-market trading above 1.3. The article describes the listing-year condition as 2021, while its Python example appears to include stocks listed in 2021 or later. It provides sample indicator and Python implementations based on turnover and buy/sell volume data, along with additional universe and volume filters in the code.

The stated rationale is to constrain trading activity and use the buy-sell volume balance as a sign of demand, while limiting the listing-age group. The article characterizes the method as simple, but supplies no historical test, return evidence, or definition of how signals translate into trades. It notes that the screen ignores broad market direction and company financials, and proposes adding valuation, fundamental, or technical conditions. The mismatch between the written listing rule and example code, plus dependence on how data providers define inside and outside volume, limits reproducibility.

Key ideas

• The screen uses a turnover band of 3% to 12% and an outside-to-inside trading volume ratio above 1.3.
• The article specifies 2021 listings, but its code appears to include listings from 2021 onward.
• Example code adds market-universe, volume, and data-availability filters beyond the core rule.
• The article gives no backtest and warns that market trends and company fundamentals are omitted.

Tags

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