Chinese Stock Screen Using Turnover, a 10-Day Average, and a Two-Day High

Summary

This Chinese-equity screening rule selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day closing-price average, and a current high equal to the highest high across the current and prior day. The document gives formula and Python examples for expressing these conditions, making the screen reproducible in common analysis workflows.

The accompanying discussion characterizes the rule as a simple combination of activity, opening-price location, and a very short-term price breakout. It cautions that relying on a two-day high alone may miss broader price behavior and that the screen is sensitive to market conditions. It suggests adding indicators such as RSI or combining multiple selection approaches, but provides no backtest, returns, or evidence that the selected stocks outperform.

Key ideas

• The screen requires turnover from 3% through 12%.
• The opening price must lie within 5% of the 10-day moving average of closing prices.
• The current high must match the highest high over two days.
• The source cautions that the brief breakout condition is incomplete and offers no performance validation.

Tags

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