A-Share Stock Screen Using Turnover, Reversal, and Share-Code Filters

Summary

The document outlines a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, a reversal or engulfing-style condition, and codes beginning with 60. It describes this as a way to combine trading activity, a price-pattern signal, and a universe restriction. The post includes an indicator-formula reference and a Python example that calculates a range-based reversal measure from daily highs, lows, and previous closes, then filters for eligible codes. The examples illustrate implementation concepts but do not provide a complete, verified backtest.

The author warns that the screen omits company fundamentals and that its restrictive conditions may produce a narrow, unrepresentative set of stocks. Suggested extensions include adding technical indicators or valuation measures and loosening the filters. The supplied snippets also contain apparent inconsistencies, including differing reversal thresholds and an undefined data object, so the exact intended rule and code behavior are unclear. No return, risk, or out-of-sample evidence is reported.

Key ideas

• The screen combines a turnover band, a reversal condition, and a stock-code prefix filter.
• The post demonstrates a range-based calculation using daily price fields and a separate universe filter.
• Fundamental information is absent, and restrictive filters may leave too few candidates.
• The code examples contain inconsistencies and do not establish the strategy’s profitability.

Tags

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