A-Share Screening by Turnover, Prior-Day Leaderboard, and Lower Low

Summary

This note describes a Chinese A-share stock screen combining a turnover ratio from 3% to 12%, appearance on the prior day’s trading leaderboard, and a current low below the previous day’s low. The leaderboard condition is used as a proxy for market attention, while the lower low adds a short-term price condition. The article also gives an implementation outline for screening stocks with these criteria.

The method is a basic selection rule, not a tested trading system: the document provides no performance figures or backtest evidence. It cautions that the filter omits company financials and industry fundamentals, and that prices may fluctuate sharply. It suggests supplementing the screen with indicators such as RSI or MACD and with fundamental filters, while adapting criteria to market conditions. These additions are proposals only; the note does not evaluate whether they improve results.

Key ideas

• The screen requires turnover between 3% and 12%, inclusive.
• A stock must have appeared on the previous day’s trading leaderboard.
• The current day’s low must be below the previous day’s low.
• The article identifies missing fundamental analysis and sharp price swings as risks.
• It proposes adding technical and fundamental filters but gives no performance evidence.

Tags

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