A-Share Screen for Turnover, Ten-Day Average Proximity, and Limit-Ups

Summary

This proposed A-share screen selects stocks with turnover from 3% to 12%, an opening price within roughly 5% of the ten-day moving average, a latest close at or above that average, and at least one limit-up event in the preceding month. The article frames turnover as a measure of market activity, proximity to the moving average as a short-term price filter, and a recent limit-up as a sign of market attention. It includes a technical formula and a Python example, though the implementation details differ from the verbal rule in places.

No backtest or performance statistics are provided, so the suggested upside potential is not established. The article notes that the screen omits long-term fundamentals and that limit-up behavior may carry market-manipulation and operational risks. It proposes adding financial measures and diversifying exposure. The sample code uses historical quantiles and rolling comparisons that do not directly express all the stated current-day conditions, so the precise signal timing and data fields would need verification before use.

Key ideas

• The screen combines a turnover band with opening-price proximity to the ten-day moving average and a close above that average.
• It also requires a limit-up event within the prior month.
• The article gives formula and code examples but no evidence from a backtest.
• The approach emphasizes short-term market behavior and leaves out fundamentals, while limit-up signals can carry operational risks.

Tags

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