A-Share Screening by Opening Gap, Ten-Day Return, and Turnover Ratio

Summary

This post proposes a Chinese stock screen using three filters: a turnover-ratio ranking among the top 100 stocks, a positive but capped return over the past ten days, and an opening price gain below a stated ceiling. The intended idea is to combine relative trading activity, recent price strength, and a restrained opening move when selecting candidates. The article also cautions that technical filters cannot ensure future performance and suggests adding company fundamentals and further screening dimensions.

The document provides no backtest or realized performance evidence for this specific combination. Its implementation material is largely a generic template and does not clearly demonstrate that all three stated filters are applied consistently. The recommended additions, such as valuation or financial quality checks, are suggestions rather than tested improvements. The screen is therefore best understood as a basic candidate-generation concept whose behavior would need to be evaluated with point-in-time data, transaction costs, and explicit portfolio and risk rules.

Key ideas

• The screen ranks stocks by turnover ratio and keeps the highest-ranked candidates.
• It also constrains recent ten-day returns and the opening price gain.
• The post warns that technical indicators may fail and market conditions can change.
• It proposes adding fundamental and other cross-sectional filters, but provides no validation for them.
• The implementation examples do not establish a complete, tested strategy.

Tags

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