A-Share Screen Using Turnover, Buy-Sell Volume, and Price Strength

Summary

This document outlines a short-term A-share selection rule using turnover from 3% to 12%, a ratio of external to internal trading volume above 1.3, non-ST status, and exclusion of stocks that have reached the daily limit. It also applies price conditions relative to recent closes and moving averages, describing the overall approach as a search for liquidity, buying pressure, and potential limit-up behavior. Formula and Python-style examples show how these filters might be combined, with a pre-market selection time mentioned in the rule description.

The screen is not accompanied by backtest results or measured evidence of performance. The article cautions that it omits fundamentals and industry characteristics and that limit-up behavior is affected by short-term market forces. Some example conditions and the prose differ, including strict versus inclusive turnover bounds and the specific price filters. The named five-part limit-up method is not fully explained, so the screen cannot be reproduced from that reference alone. The rules should be treated as an incomplete candidate filter that needs precise definitions and evaluation across market conditions.

Key ideas

• The screen uses turnover from 3% to 12%, an external-to-internal volume ratio above 1.3, and non-ST status.
• It excludes stocks at the daily price limit and applies additional recent-price and moving-average filters.
• The approach aims to capture trading activity, buying pressure, and possible limit-up potential.
• The document provides no backtest results and warns that short-term market forces can dominate limit-up behavior.
• The referenced five-part method is not fully explained, and example rules do not perfectly match the prose.

Tags

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