Combining Moving Average Convergence, Turnover, and Revenue Growth in a Stock Screen

Summary

The proposed Chinese stock screen combines three filters: convergence among the 5-, 10-, 20-, 60-, and 120-day moving averages; turnover between 2% and 9%; and revenue in 2021 more than 1.1 times revenue in 2018. The document frames moving average convergence as a sign of shared market direction, moderate turnover as a balance between activity and liquidity, and the revenue comparison as evidence of business growth. It also suggests adding valuation and technical measures for further assessment.

No backtest, return figures, benchmark comparison, or supporting analysis is provided. The stated explanations for the filters are hypotheses rather than demonstrated results. The included sample code does not clearly implement the described moving average convergence test, and it is incomplete, so it does not establish that the proposed screen can be reproduced as written. The strategy should be treated as a screening idea, with data timing, definitions, and performance requiring independent validation.

Key ideas

• The screen combines five moving averages, a turnover range, and a three-year revenue comparison.
• The document interprets moving average convergence as directional agreement and moderate turnover as a liquidity filter.
• Revenue growth is used as a basic company quality signal.
• The sample code is incomplete and does not clearly implement the stated convergence condition.
• The document supplies no performance evidence for the proposed filters.

Tags

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