A-Share Screen Combining Moving-Average Trend, Turnover, and Position Growth

Summary

The proposed A-share screen combines a 20-day moving average above the 120-day average with a reported position-growth measure above 5% and previous-day actual turnover between 3% and 28%. The article interprets the moving-average relationship as a favorable short-term trend, the position-growth condition as a possible sign of inflows, and the turnover range as a way to avoid both inactive and unusually active stocks. It also sketches a selection routine and mentions adding valuation measures or stop-loss rules as possible extensions.

The article cautions that the approach depends heavily on short-term market conditions and can select stocks that later perform poorly. It provides no backtest, portfolio construction, or measured evidence. Its accompanying code does not consistently define the stated position-growth and turnover variables: the example uses price changes and volume comparisons as proxies. Those implementation mismatches make the written criteria clearer than the sample code, and the strategy’s effectiveness remains unestablished.

Key ideas

• The screen requires the 20-day moving average to exceed the 120-day moving average.
• It adds a position-growth threshold above 5% and a previous-day turnover range of 3% to 28%.
• The article interprets the filters as trend, potential inflow, and trading-activity screens.
• It suggests valuation measures and stop-loss rules as possible additions.
• The sample code uses price changes and volume as proxies, and no backtest evidence is reported.

Tags

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