Chinese Stock Screening with Turnover, Relative Volume, and Moving Averages
Summary
This Chinese stock selection proposal combines relative trading volume, prior-day turnover, and a moving-average trend filter. It ranks stocks by volume ratio, keeps those with turnover above 3% and no more than 28%, and requires the 20-day moving average to exceed the 120-day average. The author interprets these conditions as signals of market attention and stronger short-term trend.
The document provides a screening recipe and discusses its limitations, but reports no backtest or performance evidence. The filters may exclude lower-volume or lower-turnover shares, and moving-average conditions can miss stocks with weaker recent trends. It suggests adding valuation measures and adapting thresholds to market conditions; these suggestions are not tested in the text.
Key ideas
- Rank stocks by relative volume and retain the highest-ranked candidates.
- Filter for prior-day turnover above 3% and at most 28%.
- Require the 20-day moving average to be higher than the 120-day moving average.
- The document gives no performance evidence and notes that the filters can exclude potential candidates.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.