A-Share Screening by Turnover, Market Value, Profitability, and Bollinger Bands

Summary

The post describes a proposed A-share stock screen using a turnover-rate range of 3%–12%, market capitalization below 10 billion yuan, and a profitability filter. It then adds a Bollinger Band condition, along with example formula and Python references. The intended approach combines trading activity and company-level filters with a price-based technical indicator.

The stated Bollinger condition requires the closing price to be above the upper band and below the middle band at the same time. Under the usual ordering of Bollinger bands, that cannot be satisfied, so the written screen is internally inconsistent. The code examples also do not clearly match every stated filter. The post offers no backtest or performance evidence, and it acknowledges risks from relying on short-term price movement and a single indicator. The screen would need clarification and validation before its behavior or results could be assessed.

Key ideas

• The proposed screen combines turnover, market value, profitability, and Bollinger Band criteria for A-shares.
• The stated closing-price condition is above the upper Bollinger Band and below the middle band.
• That price condition is contradictory under the usual ordering of Bollinger Bands.
• The post supplies formula and Python examples but no backtest results.
• It notes that dependence on short-term price movement and a single indicator can create risks.

Tags

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