I maintain a three-pillar A-share screener: technical structure , fundamentals , and flow/intel . Two of those pillars I refuse to backtest with the data I have, because I only hold today's PE/PB snapshot and applying it to 2024 bars is textbook look-ahead. So the measurable pillar is the technical one, and this week I tried to "improve" it by adding a liquidity floor.

It took 892,992 classified bars to learn that the floor moves the result by 0.006 percentage points — and to learn something more useful: why I nearly shipped it anyway.

The setup

Universe : 3,184 A-shares whose last bar equals the market's last bar (2026-10-26). My local store had 3,487 files; 303 were stale tickers whose last bar was dated anywhere from 1994 to 2026-09.…