A-Share Screen Using Turnover, Listing Region, and Prior-Day Limit Ups

Summary

This stock-selection screen looks for Chinese A-shares with turnover between 3% and 12%, excludes Beijing-listed shares, and removes stocks that hit the upper price limit on the previous day. The post frames the turnover band and exclusions as ways to narrow candidates based on trading activity and recent price behavior, then suggests combining the screen with valuation or technical measures such as price-to-earnings, price-to-book, or RSI.

The article offers a Python example that uses market data to filter stocks and return up to 20 candidates. It gives no historical performance, benchmark comparison, or evidence that the filters improve returns. The author also notes that the approach relies heavily on market sentiment, omits fundamental assessment unless supplemented, and can leave too few candidates. The sample code and stated screening logic may not align perfectly in their data handling, so the screen would need validation before use.

Key ideas

• The screen selects A-shares with turnover from 3% to 12%.
• It excludes Beijing-listed stocks and those that reached the daily upper limit on the prior day.
• The post recommends adding valuation and price indicators for broader assessment.
• The author warns that sentiment-based filters can omit fundamentals and shrink the candidate pool.
• No performance evidence is supplied, and the example implementation requires validation.

Tags

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