Selecting A-Shares by Turnover and Recent Price Gains

Summary

This proposed China A-share screen selects stocks with turnover rates between 3% and 12% and positive gains below 35% over the prior ten days, while excluding Beijing-listed shares. The accompanying example also filters out names containing an ST designation, requires price-to-book and price-to-earnings data, and keeps up to 20 records. The stated rationale is to find relatively active stocks using turnover and recent price movement as signals of market interest and capital flows.

The article offers no backtest, benchmark, or evidence that the screen predicts returns. It acknowledges that market conditions and company fundamentals can affect results, and suggests combining the screen with fundamental or industry information. Its sample Python reference should be treated cautiously: it retrieves one daily quote and does not clearly show a rolling ten-session return calculation or a ranking method. The screen is therefore a set of candidate filters, not a validated trading strategy or a complete account of entry, exit, and risk management.

Key ideas

• The screen combines a 3%–12% turnover range with positive ten-day gains below 35%.
• It excludes Beijing A-shares and the example additionally filters ST names and missing valuation fields.
• The author frames turnover and recent gains as indicators of market activity and fund interest.
• The document provides no performance test and does not define trade entries, exits, or risk controls.
• The sample code does not clearly implement a rolling ten-session return calculation.

Tags

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