Screening A-Shares by Daily Range, 10-Day Average, and Turnover

Summary

This stock-selection screen combines three filters: amplitude above 1%, an opening price near the 10-day moving average, and turnover between 2% and 9%. The article describes the range filter as a way to find more volatile shares, the moving-average band as a price-location condition, and turnover as a liquidity screen. It provides formula and Python examples for combining the conditions, with the opening price set within 5% of the moving average in the example.

The post offers no backtest, performance evidence, or comparison with alternative thresholds. It warns that turnover can vary with market conditions and that a single screening rule omits other relevant information. It recommends adding fundamental, industry, and market-style factors, but does not specify how to combine them or test whether they improve results. The screen is therefore a rule-based candidate-selection idea, not a demonstrated profitable strategy.

Key ideas

• The screen requires amplitude above 1%, an opening price within 5% of the 10-day moving average, and turnover between 2% and 9%.
• The moving-average condition uses the opening price, while the example calculates the average from closing prices.
• The article presents turnover as a liquidity filter, though liquidity can change with market conditions.
• No backtest or evidence of returns is provided.
• The post suggests adding fundamental, industry, and market-style information to address the limits of a single screen.

Tags

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