A Chinese Stock Screen Combining Turnover, Reversal, and Moving Averages

Summary

This document describes a Chinese equity selection rule combining a 3%–12% turnover range, a reversal-style condition, and a 20-day moving average above the 120-day average. Its stated rationale is to favor stocks with adequate liquidity and an upward trend, with the turnover and price-range filters intended to refine candidates. The examples include a formula-style screen and a Python illustration of calculating moving averages, turnover, and a range-based reversal measure.

The document provides no backtest, performance figures, or evidence that the screen improves returns. It warns that the method omits company fundamentals and that trend identification can be uncertain. The supplied formula and code also include implementation details whose relationship to the verbal description is not fully clear, so the precise meaning of the reversal condition may need validation before use. The suggested additions, such as valuation and dividend measures, are possibilities rather than tested improvements.

Key ideas

• The screen requires turnover between 3% and 12%.
• It combines a reversal-style price condition with the 20-day average above the 120-day average.
• The article frames liquidity and trend as the main selection considerations.
• It gives formula and Python examples but reports no backtest results.
• Fundamental factors and uncertainty in the trend or reversal definitions are limitations.

Tags

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