A-Share Screen Using Turnover, Market Capitalization, Profitability, and Long-Term Trend

Summary

This A-share stock selection approach first screens for turnover between 3% and 12%, market capitalization below 10 billion yuan, and companies without losses. It then selects shares whose previous closing price is above the 250-day moving average. The rationale is to combine liquidity and size constraints with a basic profitability condition and a long-term trend filter. The post proposes broadening the trend test to include shorter moving averages and combining technical signals with company fundamentals, industry conditions, and market sentiment.

An indicator formula and Python example illustrate implementation, but the code does not establish a reliable test of the stated rules: parts of the examples rely on specific fields and dates, and the Python sample does not clearly implement every screening condition. No returns, benchmark, or risk statistics are reported. The author notes that relying on one moving average can lag or generate errors in changing markets, and that market sentiment, fundamentals, and industry effects remain relevant risks.

Key ideas

• The initial screen combines a turnover band, a market-cap ceiling, and a no-loss criterion.
• A share must also close above its 250-day moving average to pass the trend filter.
• The suggested refinement compares price with several moving averages and considers broader factors.
• The examples illustrate implementation but do not provide backtest or return evidence.
• The post cautions that a single technical indicator may lag and omit material company or industry risks.

Tags

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