Chinese Stock Screen Using Turnover, Float Size, and Moving-Average Trends

Summary

This Chinese A-share screening method combines turnover, circulating market capitalization, rising moving averages, and price above several moving-average levels. Its stated final criteria cap turnover at 12%, restrict circulating market value to a specified range, require the 60-day and 120-day averages to rise, and place the close above the 20-, 60-, and 120-day averages. The document also includes an indicator formula and a Python example for applying the filters.

The rationale is to combine trading activity and company size with technical trend conditions. No backtest, return series, or comparative evidence is provided, so the screen’s effectiveness is untested in the document. The author flags subjective interpretation of rising bottoms and suggests periodic backtesting and adding indicators such as volume. There is also a potential mismatch: the formula’s rolling-low comparison appears to select a lower 120-day low, which conflicts with the described idea of a rising bottom. The prose and examples should therefore be reconciled before implementation.

Key ideas

• The screen combines turnover and circulating market value limits with price and moving-average trend conditions.
• It requires the close to exceed the 20-, 60-, and 120-day averages.
• The document provides formula and Python examples but no performance evidence.
• Its rolling-low comparison may conflict with the stated rising-bottom criterion.

Tags

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