A-Share Reversal Screen Using Turnover, the 10-Day Average, and Gap Conditions

Summary

This note describes a Chinese A-share screen combining turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and an opening price below the prior session’s low. The author presents the last condition as a possible reversal setup and provides a formula reference plus Python-style screening logic. The method mixes trading activity, short-term price location, and a gap condition to identify candidates; it does not specify entry, exit, or position-sizing rules.

The document offers no backtest, performance figures, or evidence that these conditions predict returns. Its code example uses historical series statistics and checks whether a condition occurred at any point, so it may not implement the stated current-day screen consistently. The note also cautions that the filter omits company fundamentals and industry position, and suggests adding financial or technical criteria. Those additions are suggestions rather than tested improvements, and the document does not establish that the screen reduces risk or improves results.

Key ideas

• The screen requires turnover between 3% and 12%.
• It places the opening price within 5% of the 10-day moving average.
• It also requires the open to be below the previous session’s low.
• The note provides no performance evidence and warns that fundamental risks are not covered.

Tags

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