Chinese Stock Screening by Turnover, 10-Day Average, and Company Size

Summary

This stock screen combines trading activity, a short-term price reference, and a company-size threshold. It selects stocks with turnover from 3% through 12%, an opening price within 5% of the 10-day moving average of closing prices, and company size of at least 200 million. The examples also limit the universe to a specified market type.

The article explains that turnover and the opening price are intended to reflect activity and price positioning, while the size filter narrows the candidates. It offers formula and Python examples, but gives no backtest results or evidence that the rules improve returns. The article warns that relying heavily on company size can overlook financial health and business conditions, and suggests adding fundamental and industry analysis. The meaning and units of the size field should be checked in the data source before implementation.

Key ideas

• The screen requires turnover between 3% and 12%, inclusive.
• The opening price must fall within 5% above or below the 10-day average closing price.
• The stated company-size threshold is at least 200 million, though its data-field meaning needs verification.
• The example formula also filters for a particular market type.
• The article provides no performance evidence and recommends considering fundamentals and industry trends.

Tags

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