A-Share Screen for Turnover, Opening Price Near the 10-Day Average, and Float

Summary

This proposed A-share screen selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and tradable share capital no greater than 5.5 billion shares. The conditions combine a measure of trading activity, a short-term price reference, and a size constraint. The article frames smaller float as possible scarcity, while acknowledging that float alone does not determine market value or future market behavior.

It suggests supplementing the filters with fundamental measures such as price-to-earnings and price-to-book ratios, or additional technical signals. The document provides formula and data-processing examples, but no backtest, return figures, or comparison against a benchmark. Its rationale is qualitative, and the proposed screen does not specify portfolio construction, entry timing beyond the opening-price condition, exits, or risk controls.

Key ideas

• The screen requires turnover between 3% and 12% and an opening price within 5% of the 10-day moving average.
• It caps tradable share capital at 5.5 billion shares.
• The article describes smaller float as a possible scarcity feature but says float does not fully explain market value or performance.
• Fundamental and technical filters are suggested as possible additions, but no empirical validation is reported.

Tags

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