A-Share Screening with a Moving-Average Trend Filter and Turnover Conditions

Summary

The post describes an A-share stock screen combining a 20-day moving average above the 120-day average with a volatility threshold and a nonempty outstanding-convertible-bond name field. It proposes sorting qualifying stocks by the 20-day average, while its Python example instead ranks them by recent average trading amount. The example also applies additional listing, exchange, region, industry, and security-name filters, so it does not cleanly match the stated screening rule.

The author presents the moving-average condition as a way to select stocks with an upward trend and treats amplitude as a volatility filter. The post acknowledges that the screen omits other fundamental details and that technical indicators can give misleading signals, suggesting additional valuation measures. It supplies no backtest or return evidence, and the discrepancy between the stated turnover and amplitude criteria, formula, and Python implementation makes careful verification necessary before use.

Key ideas

• The proposed screen requires the 20-day moving average to exceed the 120-day average.
• It also uses an amplitude threshold and a nonempty convertible-bond name field.
• The post gives inconsistent ranking methods: moving average in the rule and trading amount in Python.
• The Python example adds geographic, exchange, industry, and listing filters.
• No performance evidence is provided, and the author notes limitations in the screen’s fundamentals and technical signals.

Tags

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