Screening Chinese A-Shares with Rising Moving Averages and Moderate Turnover

Summary

This document describes a short-term A-share stock screen that excludes Beijing-listed shares, selects stocks with turnover between 3% and 12%, and looks for upward ordering of five moving averages, from the 5-day through the 120-day average. It explains the intended rationale: moderate turnover may avoid some of the volatility associated with exceptionally high turnover, while rising, separated averages are treated as evidence of an upward price trend. A sample implementation and indicator formula illustrate the criteria, though the code uses a single dated data query and does not establish a tested trading process.

The article cautions that late-session price moves can make the apparent moving-average pattern misleading and that this signal addresses short-term direction, not long-term prospects. It also notes that the screen omits company fundamentals and other technical measures. Suggested improvements include combining indicators such as volume and MACD with checks of earnings and financial condition. No backtest results or evidence of profitability are provided, so the screen should be read as a proposed selection rule rather than a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed A-shares.
• It identifies upward ordering of 5-, 10-, 20-, 60-, and 120-day moving averages as a short-term trend signal.
• The article warns that late-session price moves can distort the apparent moving-average pattern.
• It recommends adding other technical indicators and fundamental company measures.
• The document provides no backtest evidence for the screen’s performance.

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