A-Share Screen Using Turnover and the 10-Day Moving Average

Summary

This document describes a Chinese A-share stock screen that looks for turnover between 3% and 12%, excludes Beijing-listed shares, and selects stocks whose opening price is near the 10-day moving average. Its illustrative Python approach narrows the universe to selected Shenzhen share-code prefixes, filters out names containing the special-treatment marker, and compares the open with a calculated average. The article also gives a simple moving-average indicator example.

The strategy’s rationale is that active turnover may indicate investor interest and that the price’s position near a short moving average may help identify candidates with upside potential. However, the document provides no backtest, performance evidence, or precise definition of “near” in its core description. It warns that relying only on the opening price and one moving average can lead to trend-following without sufficient confirmation, and that moving averages can lag. It suggests adding fundamental or technical measures, but does not evaluate those additions.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed A-shares.
• It selects stocks whose opening price is near the 10-day moving average.
• The accompanying example operationalizes “near” as an opening price above the average but below 102% of it.
• The document cautions that a single moving-average condition can lag and omit other relevant factors.
• It offers no backtest results to establish whether the screen is profitable.

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