A-Share Screen Using Turnover, Market Value, Profitability, and the Five-Day Average

Summary

This A-share screening idea selects companies with turnover between 3% and 12%, market value below 10 billion yuan, and no reported losses. It then requires the stock’s closing price to be above its five-day moving average. The document also offers example indicator and Python implementations, though these are references rather than a tested, reproducible backtest. No return figures or performance comparisons are reported.

The rationale is to combine liquidity and company-size filters with a short-term price trend condition. The author cautions that the screen focuses heavily on technical signals and does not account for company fundamentals or broad market conditions. Suggested improvements include adding profitability, financial condition, industry outlook, and policy context. Those additions are proposed rather than implemented or evaluated, so the screen should be understood as a candidate-selection rule, not evidence of profitability or reduced risk.

Key ideas

• The screen limits A-share candidates to turnover between 3% and 12% and market value below 10 billion yuan.
• It requires positive earnings and a closing price above the five-day moving average.
• The document provides sample implementations but reports no backtest results.
• The author identifies missing company and market analysis as important limitations.

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