A Stock Screen Combining Turnover, Listing Year, and Moving Average Crossovers

Summary

This post describes a Chinese equity screening rule that combines a turnover range of 3% to 12%, a 2021 listing year, and simultaneous bullish crosses among the 5-, 10-, and 20-day moving averages. It includes example formula and Python implementations intended to identify stocks meeting those conditions. The screen therefore mixes a liquidity or activity constraint, an IPO cohort filter, and short-term trend signals.

The post offers no backtest, performance record, or evidence that the conditions predict returns. It identifies several limitations: dependence on technical indicators may leave the strategy exposed to market style changes, and the screen does not account for relative strength, industry leadership, or company fundamentals. Its Python example uses market data and security-list fields, so results will depend on data definitions and implementation details. The stated rule is best understood as a candidate-generation screen; the post does not establish that selected stocks have investment potential or specify portfolio construction, exit rules, or risk controls.

Key ideas

• The screen requires turnover between 3% and 12% and a 2021 listing year.
• It looks for bullish crossover conditions among the 5-, 10-, and 20-day moving averages.
• The post supplies example formula and Python approaches for screening stocks.
• The author notes that the rule omits fundamentals, industry leadership, and relative strength.
• No performance test or return evidence is provided.

Tags

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