A-Share Screen Using Turnover and Daily Price Change
Summary
The document presents a daily stock screen for A-shares that excludes Beijing-listed stocks, keeps names with turnover between 3% and 12%, and selects those whose price change is greater than -5% and below 2.6%. It includes a formula-style expression for these conditions and a Python example intended to construct a list of matching stocks.
The stated rationale is to focus on stocks with moderate turnover and bounded daily moves, but the post offers no historical test, performance data, or evidence that the filters predict returns. It cautions that price movement alone does not ensure success and may omit company and industry factors. It suggests combining the screen with additional indicators and refining it by industry or market conditions. The Python example filters out Beijing by area and checks price change, but it does not visibly apply the stated turnover bounds, so the implementation shown does not fully match the selection logic described.
Key ideas
- The proposed screen requires turnover from 3% to 12% and excludes Beijing A-shares.
- It selects stocks with daily price changes above -5% and below 2.6%.
- The post provides formula logic and Python example code, but the example does not visibly enforce the turnover filter.
- The author warns that price movement alone is insufficient and suggests adding other indicators or grouping by industry and market conditions.
- No backtest or performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.