A-Share Screen for Turnover, Opening Price, and 2021 Dates

Summary

This document describes a historical A-share selection rule combining daily turnover, the opening price relative to the 10-day moving average, and a calendar filter. It selects stocks with turnover between 3% and 12% whose open is within 5% of the 10-day average closing price, restricted to 2021. The accompanying formula and Python example illustrate how to express these conditions over historical market data.

The rationale offered is that the turnover band targets active trading and the moving-average range captures stocks opening near their recent trend. The note warns that a fixed historical period may not reflect future market conditions and that the screen omits company fundamentals. It suggests adding other market and company measures, but gives no backtest results or evidence that the proposed rules are profitable. The screen is therefore a simple historical filter, not a validated standalone strategy.

Key ideas

• The screen requires daily turnover between 3% and 12%.
• The opening price must fall within 5% of the 10-day moving average of closing prices.
• The date condition restricts selected observations to 2021.
• The note flags historical dependence and the lack of fundamental inputs as limitations.

Tags

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