A-Share Screen for Moderate Turnover, Recent Limit-Ups, and the 10-Day Average

Summary

This Chinese A-share screen combines moderate trading activity with evidence of recent momentum. It selects stocks with turnover between 3% and 12%, at least one limit-up event in the previous 25 days, and an opening price near the 10-day moving average. The article explains that the turnover band aims to avoid both inactive and excessively active stocks, while the prior limit-up flags market interest and the moving-average condition is intended to avoid chasing an overheated price.

The post supplies indicator logic and a Python-style example, but it does not present performance results or a formal backtest. Its own discussion notes that the rules omit company fundamentals and rely on a simple moving-average entry condition, so results may vary and selection bias is possible. It suggests adding financial quality and other technical measures. The illustrative code also includes extra implementation filters, so it should not be assumed to match the verbal screen in every detail.

Key ideas

• The screen looks for turnover between 3% and 12% and a limit-up event within the prior 25 days.
• It requires the opening price to be near the 10-day moving average.
• The stated rationale is to combine trading activity and recent market attention while avoiding overheated entries.
• The article flags omitted fundamentals and the simplicity of the moving-average condition as limitations.

Tags

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