A-Share Screening with Turnover, Opening Gap, and 10-Day Average

Summary

This note proposes a short-term A-share screen based on turnover, trading volume, the opening price relative to a 10-day moving average, and a positive opening gap versus the prior close. The specified conditions require turnover between 3% and 12%, an open within 5% of the moving average, volume above 10,000 lots, and an open above the previous close. The author frames the screen as a way to combine trading activity, price context, and market interest for short-term candidates.

The note cautions that these conditions emphasize short-term market behavior and omit company finances and industry competitiveness. It also says strict opening-price and volume thresholds could exclude potential candidates, and recommends adding fundamental measures and adjusting thresholds. Formula and Python examples are included, but the Python example adds an industry-name filter absent from the stated strategy and uses a particular exchange subset. No backtest, performance evidence, or evaluation of transaction costs is provided, so the screen’s effectiveness cannot be inferred from the document.

Key ideas

• The screen combines a turnover band, volume floor, opening price near a 10-day average, and an opening gap above the prior close.
• The stated aim is to identify short-term candidates with active trading and positive opening momentum.
• The author warns that the method omits financial and industry fundamentals.
• Tight thresholds may exclude potential candidates, while the sample implementation adds extra filters.
• The document provides no backtest or evidence that the screen is profitable.

Tags

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