A-Share Screen Using Turnover, the 10-Day Average, and Prior Limit-Ups

Summary

This A-share screen selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a latest close at or above that average. It also excludes stocks that closed at the daily limit on the previous session. The article frames turnover and proximity to the moving average as filters for market activity and short-term price condition, while the prior-day exclusion is intended to avoid recently limit-up shares.

The author notes that the rules focus on short-term market behavior and omit fundamentals, and recommends adding financial measures and diversification. The document provides an indicator formula and example code, but no backtest or empirical results. Its explanation of the prior-limit-up filter as reducing risk is an assertion rather than demonstrated evidence; the screen also cannot establish whether selected shares will continue to perform well.

Key ideas

• The screen uses a turnover range of 3% to 12% and places the opening price within 5% of the 10-day average.
• It requires the latest close to be at or above the 10-day moving average.
• It excludes stocks that hit the daily price limit on the previous day.
• The rules focus on short-term price behavior, and the document provides no test results.

Tags

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