A Share-Volume Trend Screen Using 20- and 120-Day Averages

Summary

This A-share stock screen selects securities whose 20-day average trading volume exceeds the 120-day average, then excludes Beijing-listed A shares. The author interprets higher recent average volume as a sign of stronger capital activity and ranks candidates by this measure. Suggested additions include financial and industry information or other technical indicators, but these are proposed extensions rather than tested parts of the screen.

The document gives a qualitative rationale and generic implementation guidance, but no code with a fully specified ranking formula, backtest, return statistics, or evidence that rising volume predicts gains. It also notes that volume can fall abruptly and that volume and listing location alone omit company and sector fundamentals. The strategy is therefore a basic volume-based filter whose behavior and usefulness would need evaluation across a defined universe and period.

Key ideas

• The screen requires 20-day average volume to exceed 120-day average volume.
• It excludes Beijing-listed A shares.
• The author treats higher recent volume as a possible sign of stronger capital activity.
• Fundamental, industry, and additional technical measures are suggested as possible supplements.
• No performance evidence is given, and the screen uses only limited selection factors.

Tags

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