A-Share Screen for Turnover, Ten-Day Average Proximity, and Gains
Summary
This document describes a Chinese equity screening rule combining trading activity, opening price, and recent performance. It selects stocks with turnover between 3% and 12%, an opening price within 5% of the ten-day moving average, and a ten-day gain above zero but below 35%. The stated rationale is to find active stocks with positive short-term movement while excluding very large recent rises.
The document provides example formula and Python implementations, but no backtest results or performance evidence. It cautions that the screen omits company fundamentals and long-term trends, and may concentrate on popular sectors while missing opportunities elsewhere. Suggested refinements include adding valuation measures and checking returns over additional time horizons. These are screening criteria rather than a complete trading or risk-management plan.
Key ideas
- The screen requires turnover between 3% and 12%.\nThe opening price must be within 5% of the ten-day moving average.\nThe ten-day return must be positive and less than 35%.\nThe document offers no performance test and notes that the screen omits fundamentals and longer-term trends.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.