A-Share Screen Combining Rising 30-Day Average, Turnover, and Position Growth

Summary

The post proposes screening Chinese A-shares with a rising 30-day average, previous-day actual turnover between 3% and 28%, and a current-day position increase above 5%. It interprets these conditions as a combination of upward trend, trading activity, and recent capital inflow. The author cautions that strong expectations can lead to sharp pullbacks, weak liquidity can impair trading, and an unclear trend may limit returns.

The accompanying sample code instead filters on price-to-book below 1.5, price-to-earnings below 20, and a 30-day average of turnover rising over a stated comparison period. It does not implement the post’s three headline conditions, so the examples are inconsistent. The post suggests adding valuation, price-volatility, and macroeconomic filters, but supplies no backtest results or evidence that the screen is profitable. Treat it as an illustrative idea requiring clarified definitions, consistent implementation, and independent testing.

Key ideas

• The proposed screen combines a rising 30-day average with turnover between 3% and 28% and position growth above 5%.
• The author associates the filters with trend, trading activity, and possible capital inflow.
• The sample code uses valuation and turnover-average conditions that differ from the headline screen.
• The post provides no performance evidence, and the suggested filters do not establish profitability.

Tags

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