Chinese Stock Screen Using Turnover and the Five-Day Moving Average

Summary

This Chinese-market stock screen selects shares whose codes begin with 60, turnover is between 3% and 12%, and the current stock price or average price is above its five-day moving average. The article frames the moving-average condition as a way to identify short-term upward movement and treats the code prefix as a universe restriction. Its example code instead compares closing price with a five-day average, so the implementation may not precisely match the stated price condition.

Key ideas

• The screen limits its stock universe to shares with codes beginning with 60.
• It requires turnover between 3% and 12% and price above the five-day moving average.
• The article presents the moving-average test as a short-term trend filter.
• The article warns that the screen can miss stocks recovering from declines and can leave investors exposed to choppy price action.
• It suggests combining technical conditions with valuation or other fundamental measures, but provides no backtest or performance evidence.

Tags

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