Screening Chinese A-Shares by Range, Market Size, and Moving Average

Summary

This selection rule screens Chinese A-shares for market capitalization above a stated threshold and price range greater than one percent, while excluding Beijing-listed shares. A refined version adds a price-above-moving-average condition and calls for a minimum number of selected stocks. The document includes example formulas and a Python outline that sorts candidates by market capitalization.

The screen combines a size constraint, a simple measure of daily price movement, and an exchange-board exclusion. The source flags several limitations: it does not account for company fundamentals, relies heavily on price behavior, and may produce too few candidates. It suggests adding fundamental and market-trend measures or loosening the filters.

The examples are not fully consistent about the moving-average rule: one formula places the five-day average above the close, while the text and Python outline place the close above that average. The document supplies no backtest, return comparison, or transaction-cost analysis, so it offers a screening template rather than evidence of a profitable strategy.

Key ideas

• The base screen requires market capitalization above a threshold and daily price range above one percent.
• It excludes Beijing-listed A-shares and proposes a moving-average trend filter in its refined version.
• The examples sort candidates by market capitalization and aim to maintain a minimum universe size.
• The source warns that the screen omits fundamentals and may select too few stocks.
• The moving-average condition differs between examples, and no performance evaluation is reported.

Tags

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