A-Share Screening by Turnover and Opening Price Change
Summary
This stock screen selects Chinese A-shares outside the Beijing market with turnover between 3% and 12%, then filters for an opening auction price change above -2% and below 5%. The document gives a formula-style expression and a Python example intended to identify qualifying stocks. It frames the bounded opening move as a way to seek trading opportunities while avoiding an excessively strong gap, and suggests adding company fundamentals and industry context to refine the screen.
No backtest, trade returns, benchmark comparison, or evidence that the filters predict future performance is presented. The accompanying Python example uses opening and prior-close fields, but its data retrieval and shifted close calculation are not fully explained, so the implementation may not reproduce the stated turnover and market exclusions as written. The screen is therefore a selection rule to investigate, not a validated strategy.
Key ideas
- The screen requires turnover between 3% and 12% and excludes Beijing A-shares.
- It selects stocks whose opening auction change is between -2% and 5%.
- The document proposes adding fundamental and industry measures to refine the selection.
- No performance evidence is supplied, and the example implementation leaves data alignment and some filters unclear.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.