A-Share Screen Using Turnover, Relative Gains, and the Prior Low

Summary

The document describes an A-share stock screen requiring turnover between 3% and 12%, a daily gain greater than 1% relative to stocks in the same sector, and a closing price above the previous day’s low. It frames the conditions as a way to combine trading activity, positive price movement, and a reference support level. The note supplies a formula example and a Python sketch, but the implementation does not consistently match the stated rule: the code checks for a positive gain rather than a gain above 1%, and its listed stock-market filters do not implement the stated turnover band.

The document gives no historical performance data or evidence that the conditions predict returns. It acknowledges that using only turnover and price behavior can miss other risks, and suggests considering volume, market style, sector rotation, and indicators such as MACD or RSI. The screen is thus a simple candidate-selection rule, not a complete strategy. The example also leaves important operational details unclear, including how sector-relative gains are calculated and how the signal would be executed or risk-managed.

Key ideas

• The screen combines a 3%–12% turnover range with a daily gain above 1% relative to the stock’s sector.
• It also requires the closing price to exceed the previous day’s low.
• The accompanying Python sketch does not implement all stated conditions consistently.
• The document provides no backtest or evidence of profitability.
• It recommends broader analysis, including volume, market style, sector rotation, and other indicators.

Tags

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