Chinese Stock Screening with Turnover, Float Size, and Rising Moving Averages

Summary

This Chinese A-share screening proposal combines a turnover filter, a ceiling on circulating share count or float capitalization, and an upward arrangement of moving averages. Its examples describe turnover between 3% and 12%, a float limit stated as 5.5 billion shares in the title but as 5.5 billion yuan of circulating market value in the later selection logic, and rising averages from short to longer periods. The differing float measures make the specification ambiguous.

The rationale is to focus on moderately traded, smaller stocks with improving price trends. The document warns that reliance on moving averages can produce unstable short-term signals and frequent trading. It suggests adding fundamental measures and considering longer trend horizons. It supplies formula and Python-style screening examples, but no backtest or performance evidence; one code example also does not fully match the stated moving-average arrangement. Treat the screen as an illustrative heuristic requiring consistent definitions and validation.

Key ideas

• The screen combines a turnover range, a limit on float size, and upward-stacked moving averages.
• The document gives inconsistent float criteria, alternating between share count and circulating market value.
• Its rationale is to find smaller stocks with moderate trading activity and strengthening price trends.
• The author warns that moving-average dependence can lead to frequent trades and unstable results.
• Fundamental filters and longer trend horizons are suggested, but the screen has no reported performance evidence.

Tags

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