A-Share Screen Using Price Range, Leaderboard Activity, and Turnover
Summary
This A-share stock screen combines three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading leaderboard, and actual turnover between 3% and 28% two sessions earlier. The post presents the conditions as a way to find stocks with elevated trading activity, using volatility, reported leaderboard participation, and turnover as selection signals. It includes illustrative formula and Python-style examples for applying the filters and sorting candidate stocks.
The author notes that market reversals can undermine the screen, leaderboard data may not reveal actual flows reliably, and turnover calculations can contain sampling error. Suggested refinements include adding volume or valuation measures and considering sector context. The examples do not provide a backtest, explain a complete portfolio or exit process, or establish that the thresholds predict returns; the screening rules should therefore be treated as a hypothesis rather than validated evidence.
Key ideas
- The screen requires prior-day amplitude above 1%, a leaderboard appearance, and turnover from two sessions earlier between 3% and 28%.
- It combines price movement and trading-activity information to select A-share stocks.
- The post offers formula and Python-style examples for intersecting the screening conditions.
- Leaderboard entries and turnover estimates may be imperfect measures of underlying activity.
- No backtest or complete entry, exit, and portfolio-management method is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.