Chinese Stock Screening by Turnover, Ten-Day Average, and Popularity

Summary

The strategy screens stocks for turnover between 3% and 12%, an opening price near the ten-day moving average, and then ranks qualifying names by individual stock popularity. The example defines “near” as an opening price within 5% above or below the ten-day average of closing prices. It also excludes one market type in the formula, though the article does not explain that exclusion. The proposed rationale is to combine trading activity, price positioning, and market attention when selecting candidates.

The note gives formula and Python examples, but reports no backtest, performance statistics, or evidence that popularity ranking adds predictive value. The author cautions that the approach may chase speculative activity and could overlook less-followed opportunities. It suggests adding valuation measures or more complex models, although no such refinement is evaluated. Turnover, popularity, and the moving-average band are therefore screening criteria to investigate, not a demonstrated source of returns.

Key ideas

• The screen requires turnover from 3% through 12% and an opening price within 5% of the ten-day moving average.
• Qualifying stocks are ranked by a popularity measure, whose definition is not supplied.
• The formula also excludes a market type without explaining the rationale.
• The note provides example implementations but no historical performance evidence.
• Popularity and high turnover may favor speculative names and miss less-followed stocks.

Tags

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