A-Share Screen Using Turnover, Order Flow, and Recent Limit-Ups
Summary
This A-share selection rule combines turnover between 3% and 12%, an external-to-internal trade ratio above 1.3, and at least one limit-up within the previous 25 days. The document describes the combination as a way to focus on actively traded stocks with buying pressure and a recent sharp price move. It includes a Python example that checks the latest turnover and order-flow ratio alongside the recent limit-up condition.
The article says the screen may miss strong stocks that have not hit a limit-up and may be affected by news-driven enthusiasm. It suggests adding trend indicators or market-sector information. The source’s formula example only specifies a volume ratio and a recent limit-up, while its stated strategy uses turnover and external-to-internal trades; this mismatch makes implementation details uncertain. No backtest, performance evidence, or broader risk management is presented.
Key ideas
- The stated screen requires turnover between 3% and 12%.\nIt also requires the external-to-internal trade ratio to exceed 1.3.\nAt least one limit-up must have occurred in the prior 25 days.\nThe article notes that the filter may miss stocks without a recent limit-up and may react to news.\nThe provided formula example does not fully match the stated selection rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.