A-Share Screening by Turnover, Ten-Day Average, and Float Value

Summary

This A-share stock screen combines three conditions: daily turnover between 3% and 12%, an opening price within 5% of the ten-day simple moving average of closing prices, and circulating market capitalization between 5 billion and 10 billion yuan. It uses trading activity, a short-term price reference, and company size to narrow the candidate universe. The accompanying discussion presents the screen as potentially relevant in falling or range-bound markets.

The document explains the rationale for each filter and gives formula and Python examples for applying them. It does not report a backtest, performance figures, or evidence that the combination predicts returns. It also warns that market declines or changes in company fundamentals can undermine the selection. Suggested refinements include adding indicators such as MACD, RSI, or volume, adjusting criteria for market conditions, and reviewing holding periods and risk controls; these proposals are not tested in the text.

Key ideas

• The screen requires turnover between 3% and 12%.
• The opening price must fall within 5% of the ten-day average closing price.
• Circulating market capitalization must be between 5 billion and 10 billion yuan.
• The document offers no performance test and identifies market and fundamental changes as risks.

Tags

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