A-Share Screen for Moderate Turnover and Price Above the Five-Day Average

Summary

This A-share stock screen combines a turnover-rate band of 3% to 12%, exclusion of Beijing-listed shares, and a closing price above its five-day moving average. The stated rationale is to focus on stocks with active trading and a short-term upward technical signal, potentially helping identify shares attracting market attention.

The document provides a screening formula and a Python example, but no backtest, performance results, or evidence that the criteria predict returns. It also flags that the screen omits company fundamentals and applies a fixed technical threshold across stocks that may behave differently. Suggested refinements include adding fundamental measures such as valuation or return on equity and adjusting technical thresholds to market or industry conditions. The code is presented as an implementation reference, so its data fields and turnover calculation would need checking before use.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed shares.
• It selects stocks whose closing price is above the five-day moving average.
• The proposed rationale is to combine trading activity with a short-term technical trend.
• The document gives no performance evidence and notes that fundamentals and stock-specific differences are not captured.

Tags

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