A Chinese Equity Screen Using Turnover, Moving Average Proximity, and Limit-Down Signals

Summary

The document proposes a stock-selection screen based on three conditions: daily turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a previous-session 9:15 indicative matching price at the limit-down level. It includes example expressions for applying these filters to market data. The idea combines a liquidity range, short-term price positioning, and a recent extreme downside signal.

The accompanying commentary suggests that the screen might identify stocks whose prices have fallen sharply, but it does not provide a valuation test or evidence that such stocks are undervalued. It also acknowledges that the rule uses only limited recent information and may be random, and recommends considering fundamentals, industry context, broader market conditions, and longer histories. No backtest results, transaction-cost analysis, or execution rules are supplied. The screen is therefore a hypothesis for further testing, not demonstrated evidence of a profitable strategy.

Key ideas

• The screen requires turnover between 3% and 12% and an opening price within 5% of the 10-day moving average.
• It also selects stocks whose prior-session 9:15 indicative matching price reached the limit-down level.
• The commentary proposes that sharp declines might signal undervaluation but supplies no valuation evidence.
• The document warns that the limited lookback may produce random selections and omits backtest results.
• Fundamental, industry, and broader market information are suggested as possible additions.

Tags

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