A Chinese Stock Screen Using Turnover, Moving-Average Proximity, and Concentration

Summary

This stock-selection rule filters for turnover between 3% and 12%, an opening price within 5% of the ten-day simple moving average of closing prices, and a concentration measure above 20% but below 70%. The example implementation also limits the universe to a designated market type. The article provides formula and Python examples that translate these conditions into a screen for Chinese stocks.

The stated rationale is to combine trading activity and price context with a measure of market concentration. However, the article warns that relying too heavily on concentration can leave company finances, business conditions, and industry trends unexamined. It recommends incorporating those factors for a broader assessment. The document gives no backtest, sample period, trade-entry or exit rules, transaction-cost assumptions, or evidence that the filters improve returns or reduce risk. The concentration measure’s precise construction is also not explained, limiting how readily the screen can be interpreted or reproduced across data sources.

Key ideas

• The screen requires turnover from 3% to 12% and an opening price within 5% of the ten-day moving average.
• It also filters for a concentration reading between 20% and 70%.
• The example restricts the screen to a specified market type.
• The article cautions that concentration alone may omit important company and industry information.
• No testing evidence or detailed definition of the concentration measure is provided.

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