A-Share Screening with Turnover, the 10-Day Average, and Price Change

Summary

This post describes an A-share screening rule based on turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a stated control-strength condition above 21. It presents the screen as a combination of trading activity, short-term price positioning, and buying pressure, and supplies formula and Python examples. The examples also impose a one-day price-change threshold above 21%, although the written condition refers to control strength, leaving the intended measure unclear.

The post notes that the screen omits company financial strength, fundamentals, and industry position, and cautions that its control-strength measure may be unreliable. It suggests adding fundamental variables and technical indicators. No backtest, sample definition, or evidence of returns is provided, so the conditions should be treated as an unvalidated screening idea rather than a demonstrated strategy.

Key ideas

• The stated screen requires turnover from 3% to 12% and an opening price near the 10-day moving average.
• The written rule includes a control-strength condition above 21, while the examples use a one-day price-change threshold above 21%.
• The post frames turnover and price positioning as measures of activity and short-term trend.
• It warns that the screen omits company fundamentals and that its control-strength measure may be unreliable.
• The post provides no backtest or evidence that the screen produces profitable returns.

Tags

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