A-Share Screen for Turnover, Reversal Candles, and Excluding Beijing Listings

Summary

This A-share stock screen combines a daily turnover band of 3% to 12% with a reversal-style price condition and excludes companies categorized as Beijing listings. The document presents the filters as a way to focus on liquidity and recent price behavior. It gives formula and Python examples, but the examples do not align perfectly: the formula references different reversal variables in its screening and ranking expressions, while the code calculates a ratio from the prior close and the day’s high and low without implementing the turnover filter. This makes the intended reversal definition difficult to reproduce consistently.

The article offers no historical performance data or evidence that the screen predicts returns. It explicitly warns that the method omits company fundamentals and could select stocks of uneven quality. It suggests combining technical and fundamental measures and adapting conditions to the market environment, but does not specify how to do so or validate the proposed improvements. Treat the criteria as a screening concept that needs precise definitions, data checks, and backtesting before use.

Key ideas

• The screen selects A-shares with turnover between 3% and 12% and a reversal-style price signal.
• It excludes companies identified as Beijing listings.
• The article’s formula and Python example do not consistently implement the same filters.
• The screen omits fundamentals and provides no performance evidence.
• The author suggests combining technical and fundamental criteria and adjusting filters as market conditions change.

Tags

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