A-Share Momentum Screen Using Turnover, Recent Returns, and Moving Averages

Summary

This proposed A-share screen looks for stocks with at least five clustered moving averages, previous-day turnover above 8%, and a ten-day return above zero but below 35%. It also presents an expanded version adding valuation filters—price-to-earnings below 20 and price-to-book below 1—along with a bullish MACD crossover and widening Bollinger Bands. The rationale is to combine price consolidation, active trading, and moderate recent gains while avoiding names that have already risen sharply.

The note warns that a short-term technical screen can overlook long-run trends and company fundamentals, may produce few candidates in volatile periods, and can miss market themes. It suggests adding longer moving averages and financial measures. The code reference is incomplete and contains inconsistencies, and the post reports no backtest or performance evidence. The thresholds and additional indicators should therefore be treated as proposed screening rules, not validated signals.

Key ideas

• The core screen combines clustered moving averages, high previous-day turnover, and positive but capped ten-day returns.
• An expanded variant adds valuation filters, a MACD crossover, and upward-expanding Bollinger Bands.
• The author notes that short-term technical rules can miss fundamental and longer-term information.
• The code is incomplete, and the post provides no results validating the proposed thresholds.

Tags

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