A-Share Screening with Turnover, Listing Year, and Five-Day Price Strength

Summary

The article proposes screening Chinese A-shares for turnover between 3% and 12%, listing in 2021, and non-ST status, then applying a short-term price-strength filter it calls a five-part limit-up method. Its description defines that method as the share of advancing stocks among all traded stocks, while the code instead checks whether at least two of the last five bars closed above their open. These are different signals, so the implementation does not clearly match the stated strategy. The code also uses a fixed historical period, which limits its relevance as a current selection rule.

The author cautions that a short-term rally screen can overlook company fundamentals and may fail when market conditions reverse; timely exits and position controls are suggested. No backtest results or performance evidence are provided. The article recommends adding fundamental analysis and risk controls, but does not specify selection thresholds or an exit method. Treat the screen as an illustrative idea rather than a validated strategy.

Key ideas

• The stated screen combines a turnover range, a listing-year filter, and exclusion of ST shares.
• The article describes a short-term price-strength method, but its code uses a different five-bar test.
• The example relies on a fixed historical window and does not establish current performance.
• The author identifies reversal risk and recommends adding fundamental analysis and position controls.

Tags

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