A-Share Screening by Turnover, Recent Limit-Up, and Relative Volume

Summary

This document describes a Chinese A-share screening rule that combines turnover, a recent limit-up event, and relative trading volume. Its stated criteria are turnover between 3% and 12%, at least one limit-up in the prior 25 days, and a volume ratio above 1.5 but below 6. The title instead says the volume ratio exceeds 1, so the article contains an inconsistency; its detailed logic and code use the narrower 1.5–6 range. A code example also approximates the turnover filter using a 70th-percentile value over the recent data window.

The rationale is to find relatively active stocks that have recently attracted market attention, then filter for current trading activity. The document warns that the screen omits company fundamentals and broad market conditions, and that volume ratios may not be comparable across different stocks. It proposes adding financial, asset-quality, industry, and market-level analysis. No backtest, performance evidence, or validation of the thresholds is provided, so the rules are a candidate screening heuristic rather than evidence of an effective trading strategy.

Key ideas

• The screen looks for turnover between 3% and 12% and a limit-up event within the prior 25 days.
• The article body specifies a volume ratio above 1.5 and below 6, while its title gives a different lower threshold.
• The proposed rationale is to combine trading activity with a recent sign of market attention.
• The document cautions that the screen excludes fundamentals and market conditions, and that volume ratios may not be comparable across stocks.
• It provides no performance testing or evidence that the proposed filters improve returns.

Tags

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