A-Share Screen Using Turnover, Ten-Day Gains, and Prior Limit-Up Exclusion

Summary

This post proposes screening A-shares for turnover between 3% and 12%, a positive gain over ten days that remains below 35%, and no limit-up close on the previous day. The author characterizes the method as a momentum-oriented screen and cautions that chasing recent gains can lead to buying near a short-term peak, especially after a stock has hit its daily price limit.

The post suggests combining additional technical indicators with the screen and controlling risk, but it does not specify a tested entry, exit, or position-sizing method. It includes formula and Python references, though the code's price-change and limit-up checks do not clearly implement all the prose conditions. No backtest, trading results, or evidence of predictive value is provided; the rules are best understood as a rough candidate filter requiring implementation checks and empirical evaluation.

Key ideas

• The stated screen uses turnover of 3%–12%, a positive ten-day return below 35%, and excludes stocks that hit the limit-up yesterday.
• The post describes the selection as momentum-oriented and warns of buying after a short-term run-up.
• Additional technical filters and explicit risk controls are suggested, but not specified.
• The code examples do not clearly match every stated screening condition.
• No backtest results or evidence of profitability are presented.

Tags

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