A-Share Screen Using Position Growth, a Sharp Daily Drop, and Rising Averages

Summary

The proposed A-share screen combines a reported increase in position share above five percent, a daily maximum decline between four and five percent, and an upward 30-day moving average. The accompanying explanation interprets position growth as possible institutional buying and the rising average as an indication of an upward trend. It suggests extending the trend filter to a 60-day average and adding valuation screens, with a final stated version including price-to-earnings below twenty and price-to-book above one.

The document provides no backtest, returns, or evidence that these signals predict performance. It acknowledges that the initial screen omits company fundamentals and broad market conditions, and that a short moving-average window may miss longer trends. Its sample code also does not consistently implement the described rules: it calculates different quantities and does not clearly apply all final conditions. Treat the screen as an idea requiring data and implementation checks, not a validated strategy.

Key ideas

• The screen combines position-share growth, a daily decline within a specified range, and a rising 30-day average.
• The suggested expanded version adds a rising 60-day average and valuation filters.
• The author notes that market conditions and company fundamentals are not adequately covered by the initial rules.
• The code example does not faithfully implement all the written screening conditions.
• No performance results are supplied to validate the approach.

Tags

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