A-Share Screen Using Turnover, Bid Pressure, and Recent Limit-Ups

Summary

This A-share selection rule combines market activity, order-book pressure, and recent price strength. It looks for stocks with turnover between 3% and 12%, bid-side volume greater than ask-side volume, and more than two limit-up sessions over the preceding 10 days. The final rule ranks qualifying names by price gain and selects the top 50. The article frames these conditions as indicators of active participation and short-term upward momentum.

The author warns that repeated limit-ups can make the screen speculative and expose selected stocks to sharp pullbacks. Suggested improvements include adding trend measures and evaluating company fundamentals and macroeconomic conditions. The post includes example formulas and code, but no backtest results or evidence that the ranking predicts future returns. Its code also appears to use inconsistent data fields in places, so implementation details may need checking against the intended market data source.

Key ideas

• The screen requires turnover between 3% and 12%, stronger bid than ask volume, and more than two limit-up sessions in 10 days.
• Qualifying stocks are ranked by price gain, with the top 50 selected.
• The method combines trading activity and order-book imbalance with short-term momentum.
• Frequent limit-ups may signal speculative risk and the possibility of abrupt reversals.
• The article suggests adding trend, fundamental, and macroeconomic checks but reports no validation results.

Tags

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