Screening A-Shares by Current and Previous-Day Turnover

Summary

This Chinese A-share stock screen selects shares with current turnover between 3% and 12%, excludes Beijing-listed stocks, and requires the previous day's turnover to exceed 8%. The rationale is to find liquid stocks that have recently attracted trading activity. The document also gives example implementations and suggests combining turnover with fundamentals and technical indicators before making investment decisions.

The screen is based mainly on trading activity and does not assess industry conditions, company performance, or longer-term value. Its results may change with the chosen date and universe. The accompanying Python example adds filters such as excluding names containing “ST,” restricting codes to certain Shenzhen prefixes, requiring a minimum float market value, sorting by turnover, and returning a limited list; these are implementation details beyond the stated core rule. No performance evidence is provided, so the screen should be treated as a selection heuristic rather than a validated strategy.

Key ideas

• The core screen requires current turnover from 3% to 12% and prior-day turnover above 8%.\nIt excludes Beijing-listed A-shares.\nThe rationale is to focus on liquid stocks with recent market attention.\nThe document warns that turnover alone omits company and industry fundamentals.\nThe examples add filters and ranking steps, but provide no evidence of profitability.

Tags

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