A-Share Screen for Turnover, 2021 Listings, Volume, and Gap-Up Opens
Summary
This stock screen combines turnover, listing date, trading volume, and the opening price relative to the prior close. It seeks stocks listed in 2021 with turnover between 3% and 12%, current volume above 10,000 lots, and an open higher than the previous session’s close. The document describes these filters as a way to combine trading activity with a simple gap-up signal, and includes example indicator and Python logic.
The post gives no backtest results, trade outcomes, or evidence that these conditions predict future returns. It cautions that the selection relies on a narrow set of inputs and may be sensitive to the market conditions on a particular day. The historical year restriction also makes the screen tied to a specific listing cohort and period. The examples should be reconciled before implementation: the stated turnover and listing-year conditions are not all represented consistently in the indicator formula, while the sample data logic applies a historical date range. The author recommends broader indicators and testing across markets and time periods.
Key ideas
- The screen filters for turnover between 3% and 12%.\nIt restricts candidates to stocks listed in 2021.\nA qualifying stock must have volume above 10,000 lots and open above the previous close.\nThe examples do not fully encode all stated conditions consistently.\nNo performance results are provided, and the post flags sensitivity to daily market conditions.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.