Equity Screening with Turnover, Listing Year, and Moving-Average Crosses

Summary

This Chinese-language strategy note proposes screening equities for a specified turnover range, a 2021 listing year, and a weekly five-period moving average crossing above the ten-period average. It presents the crossover as a technical momentum filter and includes sample formulas and Python-style market-data steps for finding candidates and calculating moving averages.

The implementation does not fully match the stated rules: its sample filters a volume-related field rather than turnover, calculates averages from daily bars rather than weekly bars, and checks whether the latest averages are ordered instead of confirming a fresh crossover. The note cautions that technical-only selection can overlook company fundamentals and may overfit. It suggests adding valuation or revenue measures, or considering machine learning, but supplies no backtest results or evidence that these changes improve returns.

Key ideas

• The proposed screen combines a turnover range and listing-year condition with a bullish moving-average crossover.
• The written rule specifies weekly averages, while the sample code uses daily price data.
• The code filters a volume-related field, which does not directly implement the stated turnover condition.
• A current moving-average ordering does not by itself establish that a new crossover occurred.
• The note identifies fundamental analysis and overfitting as limitations and provides no performance evidence.

Tags

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