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

Summary

This A-share screening rule looks for trading activity within a 3% to 12% turnover range, an opening price within 5% of the 10-day closing-price average, and a closing price between 18 and 19 yuan. The article frames these conditions as a combination of liquidity or activity, short-term price positioning, and an explicit share-price band. It includes a formula reference and a sample data workflow that applies the filters to historical stock data.

The author notes that relying on a narrow price band overlooks company fundamentals and industry conditions, and suggests incorporating broader market and sector information. The examples have practical limitations: no backtest results or evidence of profitability are provided, and the code’s data fields and market selection may not match the stated rule consistently. The screen is best treated as a mechanical candidate filter whose thresholds and data handling require independent validation.

Key ideas

• The rule filters for turnover between 3% and 12%.
• It requires the opening price to be within 5% of the 10-day average closing price.
• It restricts the closing price to a band from 18 to 19 yuan.
• The document cautions that a narrow price rule omits fundamentals and provides no performance evidence.

Tags

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