Screening A-Shares by Turnover, Daily Gains, and Prior-Day Fund Control
Summary
This note describes a short-term A-share stock screen combining turnover, the current session’s price change, market and listing status, and evidence of main-fund control on the previous day. It selects non-ST main-board stocks with turnover between 3% and 12%, a gain above 1%, and positive prior-day main-fund activity. The post includes formula and Python examples for expressing those conditions.
The rationale is that active trading and a positive daily move may identify stocks attracting market attention, while prior fund activity adds a capital-flow signal. The author cautions that this emphasis can favor short-lived market interest and neglect long-term company fundamentals. Suggested refinements include adding valuation, profitability, and technical measures such as moving averages or MACD. The post gives no backtest results, so it does not establish that the screen predicts returns or accounts for execution costs and risk.
Key ideas
- The screen combines turnover between 3% and 12% with a daily gain above 1%.\nIt limits candidates to non-ST main-board stocks.\nPositive main-fund activity on the previous day is used as an additional selection condition.\nThe post warns that a short-term flow signal can overlook company fundamentals and offers no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.