Chinese Equity Screen Using Turnover, Beverage Industry, and the 10-Day Average

Summary

The document outlines a Chinese equity screen combining turnover between 3% and 12%, a beverage and alcohol industry classification, and an opening price near the 10-day moving average. It presents these filters as a way to combine trading activity, sector membership, and a price-based signal. It also supplies example formulas and a Python workflow that joins stock, industry, turnover, and trading data.

The note warns that the screen relies on limited technical and market information, and suggests adding other indicators and financial measures. It provides no backtest or performance evidence. There is also a material ambiguity: the example Python conditions require the opening price to be both above and below its moving average, so they cannot select a stock as written. The formula descriptions also do not fully clarify how “near” the average is determined. The screen should therefore be treated as an incomplete illustration rather than a validated strategy.

Key ideas

• The screen combines turnover bounds, a beverage and alcohol sector filter, and an opening-price condition around a 10-day average.
• The document provides formula and Python examples for assembling the filters from market and stock data.
• The Python example’s simultaneous above-average and below-average conditions cannot both hold.
• The document reports no performance evidence and recommends considering additional technical and fundamental factors.

Tags

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