Chinese Stock Screen Using Turnover, Price-to-Average Proximity, and Trading Value
Summary
This Chinese equity screening rule selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and prior-day trading value of at least 60 million yuan. The turnover and price filters describe activity and price location, while the trading-value threshold is intended to exclude less liquid shares. The rule also excludes one market category in its formula.
The document provides formula examples and explains that relying on the prior day’s trading value alone can miss changes in liquidity. It also cautions that comparing the opening price with one moving average leaves out other price behavior and may produce mistaken selections. No historical performance test or outcome statistics are reported, so the rule should be understood as a screening recipe rather than evidence of an effective strategy. The author suggests incorporating additional valuation, balance-sheet, analyst, or technical measures, but does not specify or evaluate those extensions.
Key ideas
- The screen requires turnover between 3% and 12% and an opening price near the 10-day moving average.
- Prior-day trading value must meet the stated 60 million threshold.
- The trading-value filter is intended to reduce selection of illiquid stocks.
- A single day’s trading value does not show whether liquidity is improving or deteriorating.
- The document reports no backtest results for the selection rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.