Chinese Stock Screen Using Turnover, Daily Gains, and the Five-Day Average

Summary

This document describes a Chinese stock selection rule combining turnover, daily price movement, and a short-term moving average. It screens for stocks with turnover between 3% and 12%, a daily gain above 1%, and price above the five-day moving average. The final rule also calls for the five-day average to be rising. The article gives example indicator logic and Python-style code intended to illustrate how to apply these filters.

The rationale is that active trading, positive price action, and a favorable near-term trend may help identify candidates. The document provides no backtest, performance measurements, or evidence that the conditions improve returns. It warns that the screen omits broader market and sector conditions, and suggests adding market, industry, and company fundamentals alongside risk controls. The code should be treated as illustrative: its displayed data fields and calculations do not consistently match the stated selection rule, so implementation details need checking before use.

Key ideas

• The screen selects stocks with turnover from 3% to 12% and a daily gain above 1%.
• The final rule additionally requires a rising five-day moving average and price above that average.
• The article offers indicator and Python examples, but reports no performance evidence.
• Market conditions, sector trends, fundamentals, and risk controls are proposed as additional considerations.

Tags

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