Chinese Stock Screen Using Turnover, the 10-Day Average, and Position Growth

Summary

This Chinese equities screen selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a daily increase in holdings above 5%. The article describes the holdings increase as a measure of capital inflow and gives example indicator and data-filter implementations of the conditions.

It warns that a screen built mainly from technical inputs may miss longer-term fundamentals, and that daily holdings changes can be uncertain as capital flows shift. It suggests adding financial, industry, and fundamental analysis, combining other indicators such as RSI, and examining the direction of holdings changes to reduce the chance of following a temporary market theme. The document offers no performance results or validation of the proposed screen, so it does not establish that the conditions predict returns.

Key ideas

• The screen requires turnover from 3% to 12%, inclusive.
• The opening price must be within 5% of the 10-day moving average.
• The daily holdings increase must exceed 5%.
• The article recommends combining the screen with fundamental and industry analysis.
• It provides no backtest evidence for the screen’s effectiveness.

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