Chinese Stock Screen Using Turnover, Momentum, and Moving Averages

Summary

This stock screening example combines turnover, recent price movement, and moving average conditions for Chinese equities. The stated logic looks for turnover between 3% and 12%, positive performance over ten days below 35%, and a prior close above the 250-day moving average. The accompanying formula and Python example also include a market-board filter and a condition involving the 10-day moving average, then rank qualifying stocks by a measure of recent price relative to that average.

The page offers implementation examples but no backtest, risk analysis, or evidence that the screen predicts returns. Its descriptions are not fully consistent: the prose specifies a bounded ten-day gain, while the formula and sample code appear to use different price-change conditions, including a close below the 10-day average. Data field meanings, timing, universe filters, and the treatment of daily observations should therefore be checked before using the example. The page itself cautions that the rules omit broader market and policy factors.

Key ideas

• The screen combines turnover bounds, recent price movement, and a long-term trend filter.
• The prose specifies a prior close above the 250-day moving average and a bounded positive ten-day gain.
• The formula and sample code include conditions that do not fully match the prose description.
• The page provides implementation examples but no evidence of profitability or risk-adjusted performance.
• Broader market and policy conditions are outside the screen's stated inputs.

Tags

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