Screening A-Shares by Turnover, Profitability, Size, and a Moving Average Crossover

Summary

This note describes an A-share selection rule that combines a turnover range of 3%–12%, market capitalization below 10 billion yuan, and a screen for companies without losses. It then selects stocks when the five-period moving average crosses above the ten-period moving average. The stated rationale is to find stocks with improving price trends among liquid, smaller companies with positive earnings.

The document includes example screening logic and code, but no performance results or backtest evidence. It warns that a trend-only signal can encourage following price moves and excessive trading while overlooking business quality. It recommends using financial statements, research, liquidity, competitiveness, and risk analysis alongside the price signal. The supplied code uses daily closing prices and does not clearly implement a weekly crossover, despite the title referring to a weekly signal, so the stated rule and example are not fully aligned.

Key ideas

• The screen combines 3%–12% turnover with a market capitalization ceiling of 10 billion yuan and a no-loss condition.
• A bullish crossover occurs when the five-period moving average rises above the ten-period moving average.
• The proposed signal is a price-trend filter, not a complete assessment of company quality.
• The note recommends adding business, liquidity, and risk analysis to the screening process.
• The example calculates moving averages from daily data, which differs from the title's weekly framing.

Tags

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