Screening A-Shares by Turnover, Recent Limit-Ups, and Auction Activity

Summary

This A-share stock-selection rule combines a turnover ratio between 3% and 12%, at least one limit-up event within the prior 25 days, and previous-day opening-auction turnover above 0.26. The article frames auction activity as a proxy for market interest and uses the recent limit-up condition and moderate turnover to identify candidates. It also suggests adding profitability, net assets, and valuation measures such as price-to-earnings and price-to-book ratios to broaden the screen beyond technical signals.

The document includes indicator syntax and a Python example intended to fetch stock data and apply related filters. However, the implementation uses a turnover quantile in place of the stated current turnover range, and its rolling limit-up expression may not reduce to a single screening result as written. No historical test, selection performance, or evidence for the thresholds is provided. The rule is therefore a technical screening concept, not a validated trading strategy, and the article warns of reversal risk.

Key ideas

• The screen requires turnover between 3% and 12%, a limit-up in the prior 25 days, and auction turnover above 0.26.
• The article treats opening-auction turnover as a measure of market attention.
• It proposes adding profitability, net assets, and valuation filters for fundamental context.
• The provided Python example differs from the stated rule in its use of a turnover quantile.
• No backtest or evidence that the thresholds predict returns is reported.

Tags

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