A-Share Stock Screen Using Turnover, Recent Limit-Ups, and Auction Gaps

Summary

This stock-selection rule combines a turnover range of 3% to 12%, at least one limit-up event in the prior 25 days, and an auction price change between -2% and 5%. The document frames these conditions as a way to find stocks with favorable sentiment and moderate activity, and suggests adding fundamental filters such as valuation, leverage, or earnings growth.

It also describes implementation examples and cautions that technical filters may overfit and can lose effectiveness when market conditions or policy and macroeconomic forces change. The examples include additional criteria beyond the headline rule, so they do not cleanly isolate the contribution of each signal. No backtest methodology or performance evidence is supplied; the strategy should therefore be treated as a screening hypothesis requiring independent testing.

Key ideas

• The screen selects stocks with turnover between 3% and 12%.
• It requires at least one limit-up event during the preceding 25 days.
• The auction price change must fall between -2% and 5%.
• The author suggests adding fundamental and other technical filters while avoiding excessive conditions.
• Historical and market-regime changes may reduce the screen's effectiveness.

Tags

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