A-Share Liquidity Screen with Trend Filters and Valuation Criteria

Summary

This note describes selecting A-share stocks by prior-day trading value above 60 million yuan and references a 2021 stock universe. Its later, expanded rule set adds market capitalization above 10 billion yuan, price-to-earnings below 20, and indicators intended to signal an uptrend, including a simple-versus-exponential moving-average comparison and MACD above zero. The document offers sample filtering logic, but it does not provide backtest results or evidence that the filters predict returns.

The discussion frames high trading value as a proxy for market activity and warns that turnover can reflect sentiment or other factors rather than fundamental value. It also notes that screening may miss opportunities and suggests adding valuation and technical measures. The rules are not fully consistent: the initial description emphasizes trading value and year, while the final logic adds other conditions; the sample code’s field names and units also merit scrutiny. No position sizing, exits, or explicit risk controls are specified.

Key ideas

• The initial screen selects stocks with prior-day trading value above 60 million yuan and references 2021.
• The expanded rules add market capitalization, valuation, moving-average, and MACD filters.
• The note treats trading value as an activity measure that may be influenced by sentiment.
• The stated screening rules shift between the initial description and final version.
• No backtest results or complete trading and risk-management rules are provided.

Tags

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