A-Share Screen Using Turnover, Ten-Day Average, and Market Exclusion

Summary

This stock-selection rule screens A-shares for turnover between 3% and 12%, an opening price within roughly 5% of the ten-day moving average of closing prices, and exclusion of Beijing-listed shares. The article presents the thresholds as a way to combine trading activity with a short-term price reference, then gives matching screening logic and a Python-oriented data retrieval example.

The material offers a rule specification, not evidence that the screen earns positive returns: it reports no backtest, benchmark, holding period, or transaction-cost analysis. It suggests adding fundamental measures such as profitability and valuation and balancing sector exposure. The accompanying discussion of risks is limited, and the sample implementation's market classification and data fields would need verification before use.

Key ideas

• The screen selects A-shares with turnover from 3% through 12%.
• The opening price must be within about 5% of the ten-day moving average of closes.
• The rule excludes Beijing-market stocks.
• The article provides formula and data-processing examples but no performance testing.
• It suggests adding fundamental filters and managing sector concentration.

Tags

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