A-Share Screen Using Turnover and Prior-Day Low

Summary

This note describes a simple China A-share stock screen. It keeps stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires the current close to be above the previous session’s low. The rationale is that this price condition may help identify stocks showing upward movement. The article also includes formula and Python examples illustrating how the conditions could be applied to market data.

The note gives no backtest, performance figures, or evidence that the screen predicts returns. It cautions that the rule relies only on recent price behavior and omits company fundamentals and broader industry conditions; a short observation window may also mistake a temporary rise for a sustained trend. The author suggests combining price signals with fundamental and technical measures. The code examples are implementation references rather than validation of the strategy.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed A-shares.
• A stock qualifies when its close is above the prior session’s low.
• The rule is presented as a way to identify possible upward price movement.
• The note provides no performance test and flags the limits of relying on price alone.

Tags

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