A-Share Screen Using Turnover and Opening Price Near the 10-Day Average

Summary

This note describes an A-share stock screen that combines turnover with the opening price’s distance from the 10-day moving average. The stated conditions require turnover between 3% and 12%, an open within 5% above or below the 10-day average, and turnover also above 2% but below 9%. Because the latter turnover band is narrower, stocks must satisfy both sets of turnover bounds. Formula and Python examples show how to apply the conditions to market data and restrict the universe to listed shares.

The rationale is to combine trading activity with the opening price’s position near a short-term average. The note offers no backtest, sample selection, or return evidence, so it does not establish predictive value. It acknowledges that the screen leaves out company fundamentals, sector conditions, and other market information, and proposes adding technical and fundamental measures. The code is illustrative and should be checked for data definitions, market coverage, and timing before use.

Key ideas

• The screen requires turnover to satisfy both a 3%–12% band and a narrower condition above 2% and below 9%.
• The opening price must lie within 5% of the 10-day closing-price average.
• The method combines trading activity with a short-term price reference.
• The document gives formula and Python examples but no strategy-performance evidence.
• It notes that fundamentals and broader market conditions are not included.

Tags

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