A-Share Screening by Turnover, Recent Limit-Ups, and Bid Volume

Summary

This document describes an A-share stock screen combining turnover, recent limit-up activity, and order-book demand. It selects stocks with turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and first-level bid volume greater than first-level ask volume. The accompanying rationale treats turnover as a liquidity filter and the limit-up and bid-volume conditions as signs of stronger market sentiment and buying interest.

The post also offers example screening logic and code, and suggests adding fundamental or financial measures and widening industry coverage. It warns that the selection rule relies on market activity data while ignoring company fundamentals and financial condition. No performance results or backtest evidence are provided, so the screen should be understood as a proposed filter rather than a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt looks for at least one limit-up event during the previous 25 days.\nIt selects stocks where first-level bid volume exceeds first-level ask volume.\nThe document identifies missing fundamental and financial filters as a key limitation.\nIt provides no performance evidence for the proposed screen.

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