A-Share Screening with Turnover, Prior-Day Leaderboard, and Moving-Average Confluence

Summary

This note describes a Chinese-equity screen combining daily turnover between 3% and 12%, appearance on the prior day’s trading leaderboard, and a condition framed as at least five overlapping moving averages. The proposed rationale is to pair a measure of trading activity and market attention with price levels that may indicate support. The document gives a brief screening formula and an illustrative Python implementation, but the implementation’s rolling comparison does not clearly establish that five distinct moving averages overlap, so the operational definition needs validation.

The author identifies omissions: the screen does not evaluate company financials or industry fundamentals, and prices can move around moving averages, weakening signal reliability. RSI, MACD, and refinement of the moving-average conditions are suggested as possible additions. No backtest, performance data, or evidence that the combined conditions improve returns is presented, so the screen is a hypothesis for further testing rather than a demonstrated strategy.

Key ideas

• The screen combines 3%–12% turnover with a prior-day leaderboard appearance and a moving-average confluence condition.
• The document interprets leaderboard presence as a sign of market attention and moving-average overlap as potential price support.
• Its example code does not unambiguously implement five moving averages converging, so the condition needs clarification.
• Fundamentals and industry conditions are omitted, and prices may fluctuate around moving averages.
• The note provides no performance evidence; additional indicators are suggested but not evaluated.

Tags

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