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

Summary

This document describes a stock-selection screen for Chinese A-shares. It combines daily turnover between 3% and 12%, an opening price within 5% of the ten-day moving average, market capitalization no greater than 10 billion yuan, and positive earnings across the previous five years. The post also provides example indicator logic and a Python workflow that queries stock and financial data, then filters candidates using these criteria.

The rationale is to combine trading activity and short-term price context with company size and a record of profitability. The document does not report a backtest, performance statistics, or evidence that the screen predicts returns. It cautions that the conditions may exclude profitable companies and that unstable market conditions can make short-term selection less suitable for long-term investing. It suggests adding measures of earnings stability and growth, and moderating activity when conditions are uncertain. Data definitions and implementation details may vary across platforms, so the examples should be treated as references rather than validated trading rules.

Key ideas

• The screen limits turnover to a stated daily range and compares the opening price with the ten-day moving average.
• It imposes a market-cap ceiling and requires positive earnings over the prior five years.
• The post gives example implementations for a charting formula and a Python stock-data workflow.
• It provides no performance test, and the stated selection rules may omit otherwise attractive companies.
• The author suggests adding longer-term profitability and growth measures and accounting for market conditions.

Tags

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