A-Share Screen for Turnover, Ten-Day Returns, and Moving-Average Convergence

Summary

This A-share stock-selection rule screens for turnover between 3% and 12%, a positive return below 35% over ten days, and at least five overlapping moving averages. The accompanying formula describes five averages with periods of 5, 10, 20, 30, and 60 days, alongside additional conditions, while the Python example sketches data retrieval and screening steps.

The post frames moving-average overlap as a technical trend filter and cautions that reliance on moving averages leaves the screen exposed to broad market moves. It recommends considering profitability and valuation and applying risk management. The article supplies no backtest or performance evidence, and its sample code and formulas appear to contain inconsistencies, so the intended conditions may not be faithfully implemented without review.

Key ideas

• The screen combines turnover limits with a positive, capped ten-day return.
• It uses five moving averages, spanning 5 to 60 days, to identify convergence.
• The author warns that a technical-only screen can be sensitive to overall market direction.
• Fundamental measures such as profitability and valuation are suggested as additional filters.
• No backtest results are given, and the example implementation should be checked for consistency.

Tags

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