Chinese A-Share Screen Using Turnover and Prior-Day Lows

Summary

This note describes a short-term stock screen for Shanghai-listed A shares whose codes begin with 60. It selects stocks with turnover between 3% and 12% and a current close above the previous session’s low, treating that price relationship as evidence of near-term strength. The accompanying example outlines retrieving a stock universe and daily price data, then applying the close-versus-low condition.

The document gives no backtest, performance figures, or validation of the signal. It warns that the screen omits company fundamentals, valuation, and longer-term trends, and may be volatile or vulnerable to market reversals. It suggests combining technical measures such as RSI or Bollinger Bands with fundamental factors, but does not specify rules for doing so. The stated final selection logic also does not operationalize those suggested additions, so the screen should be understood as a basic filter rather than a complete trading strategy.

Key ideas

• The screen restricts candidates to stocks with codes beginning with 60 and turnover between 3% and 12%.
• It selects a stock when its current closing price exceeds the previous session’s low.
• The document frames the condition as a short-term strength signal but provides no performance evidence.
• It identifies missing fundamental and long-term trend checks as sources of risk.
• It suggests combining technical and fundamental measures without defining a tested composite rule.

Tags

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