A-Share Screen Using Turnover, a 10-Day Average, and Lower Lows

Summary

This note describes a short-term A-share stock screen combining turnover, the opening price relative to the 10-day moving average, and the day's low relative to the previous day's low. It selects stocks with turnover between 3% and 12%, an open within 5% of the 10-day average close, and a lower low than the prior session. The article includes an indicator formula and a Python example as implementation references.

The rationale is to focus on actively traded stocks near their recent average price while filtering for a weaker intraday low. The document warns that this price-based screen does not assess company quality or fundamentals, and that a one-day price pattern may overlook longer-term value. It suggests adding financial or valuation measures and adjusting parameters, but supplies no backtest results or evidence that the screen is profitable. The code examples also use different aggregations for some conditions, so implementation details should be checked against the intended daily rules.

Key ideas

• The screen requires turnover between 3% and 12%.
• The opening price must be within 5% of the 10-day moving average close.
• The current day's low must be below the previous day's low.
• The article cautions that price and turnover conditions omit fundamentals and long-term value.
• No performance evidence is provided.

Tags

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