A-Share Screening by Turnover, Ten-Day Average, and Prior-Day Rankings
Summary
This A-share stock screen combines trading activity, price location, and a market-attention signal. It selects stocks with turnover between 3% and 12%, an opening price within 5% of the ten-day closing-price average, and an appearance on the prior day’s public ranking of heavily traded stocks. The stated rationale is to find active shares whose opening price remains near a short-term average and that have recently attracted attention.
The document explains that the ranking condition may reflect market themes or news, making its predictive value uncertain. It suggests adding fundamental measures such as valuation ratios or other technical signals, but provides no backtest, performance figures, or evidence that these filters produce gains. The code examples are implementation references, and the Python example has data and logic ambiguities; the screen should be treated as a proposed filter rather than a validated trading strategy.
Key ideas
- The screen requires turnover between 3% and 12%.\nThe opening price must be within 5% of the ten-day moving average of closing prices.\nA stock must have appeared on the prior day’s heavily traded stock ranking.\nThe ranking signal can reflect news or market themes and may be unreliable.\nThe document gives no performance evidence for the combined screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.