A-Share Screening with Turnover and Bollinger Band Position

Summary

The document describes a stock screen for Chinese A-shares that selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires the closing price to sit above the Bollinger middle band but below the upper band. It explains that this band position is intended to find prices that are neither unusually hot nor unusually weak, while the turnover filter focuses on a moderate activity range. It also gives a sample implementation using a rolling moving average and standard deviation, alongside references to market capitalization, listing codes, and excluding special-treatment stocks.

The screen is a basic technical filter rather than a complete trading system. The document warns that Bollinger position alone omits other relevant information and suggests combining it with measures such as MACD or RSI and using a longer sample period. It provides no performance results, validation, exit rules, or risk controls, so the proposed filters should not be read as evidence of profitability.

Key ideas

• The screen filters for turnover between 3% and 12% and excludes Beijing-listed A-shares.
• It selects stocks whose closing prices are between the Bollinger middle and upper bands.
• The sample calculation uses a rolling average and standard deviation to form the bands.
• The document recommends combining Bollinger position with other indicators and broader samples.
• It does not provide backtest results or a complete set of trading rules.

Tags

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