A-Share Screening with Turnover, a Ten-Day Average, and Bollinger Bands

Summary

This note describes a short-term A-share screen requiring turnover between 3% and 12%, an opening price within roughly 5% of the ten-day moving average, and a close between the Bollinger middle and upper bands. It combines a measure of trading activity with a moving-average proximity condition and a band-based price filter. The document includes sample formula and Python implementations, though their conditions do not match perfectly: the written rule refers to the Bollinger upper band, while the examples use tolerances around the bands, and the Python sample adds an additional rolling-high condition.

The article characterizes the combination as a way to identify active stocks with prices above the middle band, but it supplies no backtest or return evidence. It cautions that the screen excludes financial condition and industry competitiveness, and therefore may be unsuitable as a standalone basis for long-term investment. Results depend on resolving the implementation differences and validating the data and parameters.

Key ideas

• The proposed filter combines turnover from 3% to 12%, an opening price near the ten-day average, and a close in a specified Bollinger range.
• The screen mixes trading activity and technical price conditions for short-term stock selection.
• The sample implementations differ from the written rules and from each other, including an extra rolling-high condition in Python.
• The article provides no performance evidence and cautions that company and industry fundamentals are omitted.

Tags

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