Chinese Stock Screen Using Weekly MA Crossovers and Turnover

Summary

This stock selection method combines three conditions: price amplitude above 1, a weekly 5-period moving average crossing above the 10-period average, and prior-day actual turnover between 3% and 28%. The document frames amplitude and moving averages as measures of volatility and trend, while turnover is used as a liquidity filter. It also describes example implementations and suggests ranking qualifying stocks by circulating market capitalization.

The post provides no backtest, performance figures, or evidence that the screen predicts returns. Its explanations and sample implementations are inconsistent: the formula shown for the moving-average condition does not clearly implement a bullish crossover, and the sample code uses volume and a simple moving-average comparison. The post itself warns that a technical and liquidity screen may overlook company fundamentals and market risk. It suggests adding industry and financial measures, but does not specify thresholds or a validation method.

Key ideas

• The screen combines price amplitude, a weekly moving-average crossover, and prior-day turnover.
• The stated turnover band is above 3% and below 28%.
• The post proposes adding industry and financial measures to address gaps in the technical screen.
• The document provides no backtest evidence, and its example formulas do not consistently match the stated rules.

Tags

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