A Chinese Stock Screen Using Turnover, Recent Returns, and the 10-Day Average

Summary

The document presents a Chinese equities screening idea: select stocks with turnover between 3% and 12%, a positive return over the prior 10 days below 35%, and an opening price near the 10-day moving average. Its example code adds further filters, including excluding certain exchange board codes and special-treatment stocks, requiring more than a year since listing, and limiting circulating market value. The code also checks that the latest close exceeds the open and places the opening price within 5% of the moving average.

The accompanying discussion warns that technical screens can be sensitive to market conditions and short-term risk, and that ignoring company fundamentals and macroeconomic factors may weaken long-term results. It suggests adding broader inputs or testing more advanced selection methods, but reports no backtest or live performance evidence. The written rule and code are not perfectly aligned: the rule describes 10-day returns, while the sample code appears to inspect a daily percentage change. The screen should therefore be treated as an illustrative filter requiring careful implementation and validation.

Key ideas

• The proposed screen combines turnover, recent price performance, and the opening price's distance from a 10-day moving average.
• The code example adds listing-age, market-value, board-code, and special-treatment filters.
• The example checks for an opening price within 5% of the moving average and a close above the open.
• The written 10-day return condition differs from the daily percentage-change check in the code.
• The document cautions that the screen omits fundamental and macroeconomic factors and gives no performance tests.

Tags

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