A-Share Screening with Turnover, Yesterday’s Top-Ten List, and Institutional Buying
Summary
This A-share stock screen combines a turnover band with two signals of institutional activity: appearance on the prior day’s top-ten trading list and reported institutional holdings or buying. The stated selection rule uses turnover from 3% to 12%, a positive prior-day list flag, at least one institution, and an institutional increase above 5%. The article includes formula and Python examples that express these filters.
The rationale is that turnover may indicate usable liquidity, while the trading-list appearance and institutional activity may reflect attention or accumulation. The article warns that the approach could be overfit and may miss important information about company fundamentals and earnings. It also notes that institutional strategies can change, reducing the usefulness of the signal. It recommends monitoring institutional behavior and adding fundamental and industry analysis. No backtest or outcome data is supplied, so the proposed signals are not demonstrated to produce excess returns.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt includes a prior-day top-ten trading-list flag and positive institutional holdings data.\nThe stated institutional increase threshold is above 5%.\nThe article warns about overfitting and reliance on institutional behavior.\nIt provides no performance evidence and recommends adding fundamental and industry factors.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.