A-Share Screen Using Turnover, the 10-Day Average, and Positive Returns
Summary
This A-share selection rule looks for turnover between 3% and 12%, an opening price within 5% of the 10-day moving average of closing prices, and a positive return on the latest trading day. The article interprets these filters as selecting stocks with active trading, prices near a short-term average, and recent positive performance. It includes formula and Python examples.
The document cautions that selecting stocks based on historical returns can expose the strategy to data-mining risk: past winners may not continue to perform. It proposes adding fundamental measures or other technical signals, but supplies no backtest, performance evidence, or risk controls. The screen is therefore a simple selection heuristic, and its usefulness would depend on precise data definitions and validation across periods and trading costs.
Key ideas
- The screen requires turnover from 3% through 12%.\nThe opening price must fall within 5% of the 10-day moving average of closing prices.\nThe latest daily return must be positive.\nThe article warns that historical winners may not remain winners and provides no performance validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.