A-Share Screen for Turnover, Reversal Candles, and Prior-Day Activity

Summary

This Chinese A-share screening note combines a current-day turnover band with a reversal-style candle condition and a constraint on the previous day’s turnover. Its stated screen selects stocks with turnover from 3% to 12%, a prior-day turnover above 3% and no higher than 28%, and a candle measure intended to identify a reversal. The accompanying example calculates the candle’s high-low range and compares the previous close with the day’s high and low; it retains cases where the smaller normalized distance is at most 0.2. The note also sorts by market value in its formula example and describes a Python workflow using daily market data.

The rationale is to seek active shares while filtering out some unusually high prior-day turnover. The document provides screening logic and sample code, but no backtest, returns, or evidence that the conditions predict gains. It warns that fundamentals and extreme volatility are not fully addressed, and suggests adding technical and fundamental measures. The code’s data handling and the precise meaning of “reversal” may need validation before use.

Key ideas

• The screen requires current turnover between 3% and 12%.
• It also requires previous-day turnover to exceed 3% and be at most 28%.
• A normalized candle-range measure is used to identify a reversal-style setup.
• The note provides example formulas and data-processing code but no performance results.
• It cautions that the screen omits fundamentals and cannot eliminate volatility risk.

Tags

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