A-Share Screening by Turnover and Previous-Day Limit Moves

Summary

The document presents a Chinese A-share stock screen that selects shares with turnover between 3% and 12%, excludes Beijing-listed A-shares, and removes stocks that hit the daily price limit on the previous day. Its stated rationale is to focus on a chosen activity range and avoid chasing recent limit-up moves. A Python example uses market data fields to filter listed stocks and assemble candidates; it also excludes names containing the special-treatment marker and applies additional date-specific conditions.

The screen is a simple selection rule rather than a complete trading strategy: it does not specify entry timing, exits, portfolio weights, or transaction costs. The source itself cautions that turnover alone can overlook fundamentals and that broad market uncertainty remains. It suggests combining the screen with earnings and return-on-equity measures or technical indicators, but provides no backtest results establishing that these additions improve outcomes.

Key ideas

• The screen selects A-shares with turnover from 3% to 12% and excludes Beijing-listed stocks.
• It filters out stocks that reached the upper daily price limit on the preceding day.
• The accompanying example uses stock and daily market data to build a candidate list.
• The source warns that turnover screening can ignore company fundamentals and market-wide risks.

Tags

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