A-Share Trend Screen Using Turnover and Moving Average Alignment

Summary

This note outlines an A-share stock screen that selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires the 20-day moving average to be above the 120-day moving average. The moving-average relationship is presented as a way to identify stocks in an upward trend, while the turnover band acts as an additional liquidity-related filter. The accompanying Python example also applies other filters, including an exclusion for names containing ST and code-prefix restrictions.

The article warns that moving averages lag price changes and that relying mainly on moving averages can omit other relevant factors. It suggests adding further measures or considering industry, earnings, and profitability. The code sample does not clearly implement the stated Beijing-market exclusion and includes extra conditions that are not explained in the written screen. No backtest, performance metrics, or evidence of predictive value is supplied, so the selection logic should be treated as a screening idea rather than a validated strategy.

Key ideas

• The primary screen requires turnover from 3% to 12% and a 20-day average above a 120-day average.
• The note describes the moving-average relationship as a signal of an upward trend.
• The article identifies lag and reliance on a single indicator as limitations.
• The Python example adds filters and does not clearly match every stated screening condition.
• No performance evidence is provided for the proposed screen.

Tags

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