A-Share Screening with Turnover and Weekly Price Filters

Summary

The document proposes a Chinese stock screen using a turnover range of 3% to 12%, excluding Beijing-listed shares, and requiring a positive weekly bar. It presents the weekly condition as a way to favor stocks with favorable recent price action. The accompanying Python example also filters out names containing ST, evaluates weekly index data for positive weeks, and retains stocks meeting a minimum count of such weeks before returning a limited list.

The explanation characterizes the method as a short-term technical filter and warns that results may be unstable because a weekly bar alone does not capture a stock’s full condition. It recommends combining technical and fundamental measures or using a trained model, but gives no validation results. The code and stated strategy are not fully aligned: it uses an external reverse-list file and a count of positive weeks, details absent from the simple screen description. These filters should therefore be treated as an illustrative selection rule, with data definitions and timing checked before any evaluation.

Key ideas

• The stated screen selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires a positive weekly bar.
• The example code adds an ST-name exclusion and a count threshold for positive weekly readings.
• The document identifies instability and limited coverage as risks of relying on a simple weekly signal.
• It suggests combining the screen with other technical or fundamental information.
• No backtest or evidence of predictive performance is presented, and the code adds conditions beyond the stated rule.

Tags

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