A-Share Momentum Screen Using Turnover and Moving-Average Alignment

Summary

This stock-selection example screens Chinese A shares for turnover between 3% and 12%, excludes Beijing-listed stocks, and looks for an upward trend. Its code represents that trend with a descending stack of five-, ten-, twenty-, and thirty-day moving averages, with the closing price above the thirty-day average. The stated rationale is to find active, relatively liquid stocks participating in a rising move.

The post gives a screening formula and sample Python logic, but no backtest, benchmark, trade results, or evidence that the criteria predict returns. It warns that short-term price swings, incorrect technical signals, and relying on a narrow set of factors can undermine the approach. It recommends considering market conditions and company fundamentals alongside the screen and setting stop levels. Turnover and moving-average filters alone do not establish that a stock is fundamentally sound or that a trend will continue.

Key ideas

• The screen limits daily turnover to a stated range and removes Beijing-listed stocks.
• It defines an upward trend through ordered moving averages and price above the longest average.
• The post offers implementation examples but reports no performance tests or outcomes.
• The author notes signal, volatility, and single-factor risks and suggests adding fundamental context and stop levels.

Tags

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