A-Share Momentum Screen Using Turnover, the 10-Day Average, and Daily Gains

Summary

This mainland China stock selection rule filters for main-board shares with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a daily gain above 1%. The document includes a formula-style expression and a Python example that apply those conditions to price, turnover, and market classification data.

The rationale is to combine trading activity, the opening price’s position relative to a short-term average, and positive daily momentum. The post cautions that technical conditions may be unreliable when market conditions shift and suggests adding trend and industry analysis. It offers no backtest, transaction-cost analysis, or evidence that the thresholds work across market regimes. Because the rule relies on same-day prices and turnover, a practical test would also need to define when observations are available and how orders are executed without look-ahead.

Key ideas

• The screen requires turnover from 3% through 12% and restricts candidates to main-board stocks.
• The opening price must lie within 5% of the 10-day moving average.
• The stock must have gained more than 1% on the day.
• The post provides formula and Python examples but no performance results or robustness tests.
• Live use or backtesting requires careful timing of the daily data and execution assumptions.

Tags

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