A-Share Screen for Turnover, Opening Price, and a Sharp Intraday Drop

Summary

This proposed A-share screen combines turnover from 3% to 12%, an opening price within 5% of the 10-day moving average, and a daily low representing a decline between 4% and 5% from the previous close. The document describes the conditions as a technical filter and supplies formula and Python examples. It also excludes a market category identified in the formula, though the article does not explain that category in detail.

The document provides no backtest, return series, or evidence that stocks meeting these conditions have investment value. It notes that the screen leaves out industry trends, macroeconomic policy, and company earnings, and that a single day’s decline does not establish future behavior. Its examples are not fully consistent: the formula uses current-day high and low expressions while the Python example calculates a rolling two-day low relative to the previous close. The screen therefore needs clarification and data validation before results can be compared or reproduced. The article suggests adding indicators and fundamental information, but does not test those changes.

Key ideas

• The screen requires turnover between 3% and 12% and an open price within 5% of the 10-day moving average.
• It seeks stocks whose intraday low is 4% to 5% below the previous close.
• The article includes a market-type exclusion but does not explain it fully.
• The formula and Python example use different expressions for the price-drop condition.
• The article gives no performance evidence and flags market, industry, and earnings factors as omissions.

Tags

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