A-Share Stock Screen Using Turnover, Opening Gap, and Volume Ratio
Summary
The document outlines a Chinese A-share stock screen that ranks candidates by volume ratio, filters for prior-day turnover between 3% and 28%, and requires the 9:25 opening change to be below 6%. It interprets the ranking as a way to favor stocks with stronger trading activity, the turnover band as a liquidity and attention filter, and the opening condition as a check against a large early move.
The article also suggests adding valuation measures such as price-to-earnings and price-to-book ratios, along with moving averages or MACD, to broaden the selection logic. It provides brief indicator descriptions but no validated formula for the volume-ratio calculation, historical test, execution rules, or evidence of returns. The stated rationale is therefore a set of screening hypotheses, not demonstrated predictive effects. The article itself cautions that the signals are simple and can be distorted by market sentiment and fund flows; the proposed additions are not evaluated.
Key ideas
- Rank candidate stocks from high to low by volume ratio.
- Filter for prior-day turnover above 3% and below 28%.
- Exclude stocks whose 9:25 opening change is 6% or more.
- The article proposes valuation and technical indicators as possible additions to the screen.
- The screening rationale is not supported by reported backtests or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.