A-Share Screening with Turnover, Large-Order Flow, and Recent Limit-Ups

Summary

This document describes an A-share stock screen combining trading activity, price movement, large-order flow, and recent momentum. Its stated selection rule looks for turnover between 3% and 12%, a positive product of the price change and net very-large-order volume, and at least one limit-up day during the prior 25 days. It also includes example formulas and Python code, though the code adds further filters that are not part of the stated core rule.

The accompanying discussion interprets the conditions as a way to find active stocks with favorable recent performance. It cautions that relying on prior price action may exclude stocks that later become promising, and that the limited conditions can be subjective and lagging. The document suggests adding valuation, fundamentals, and industry trends or tuning parameters with machine learning. It gives no backtest results or evidence that the screen is profitable, so the rules should be treated as an unvalidated screening proposal.

Key ideas

• The core screen requires turnover between 3% and 12%.\nIt also requires price change multiplied by net very-large-order volume to be positive.\nA stock must have had at least one limit-up day in the prior 25 days.\nThe discussion warns that the screen may miss stocks with weak recent performance and relies on limited, lagging conditions.\nThe code examples include additional filters beyond the stated core rule.

Tags

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