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

Summary

This Chinese A-share screening example combines a turnover range of 3% to 12%, at least one limit-up event in the prior 25 days, and a condition based on the latest price change multiplied by a large-order net-flow measure. Its example formula also filters market and security status and ranks qualifying stocks by price-to-earnings ratio. The accompanying Python sketch describes collecting stock data, applying related liquidity and price-flow checks, and sorting candidates by valuation.

The article argues that turnover and recent limit-ups can identify active stocks, while price change and large-order flow may reflect market movement and capital activity. It cautions that price-change measures can be less reliable in volatile markets and that concentrated flows can distort apparent signals. It provides no backtest, returns, or validation of the thresholds, and advises supplementing the screen with fundamental, technical, and risk analysis. The code and formula are illustrative and may not implement every stated condition consistently.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and a limit-up event within the prior 25 days.
• It combines price change with a large-order net-flow measure to rank or filter candidates.
• The example also applies market-status filters and sorts selected stocks by price-to-earnings ratio.
• The article warns that volatility and concentrated flows can weaken the reliability of these inputs.
• No backtest or performance evidence is provided, and further analysis is recommended.

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