Screening Chinese Stocks by Turnover and a Weekly Moving Average Cross

Summary

This document describes a Chinese stock screen combining turnover, listing year, and a weekly moving average signal. It selects stocks with turnover between 3% and 12%, listed in the current year, whose weekly close crosses above a 30-week average. The stated rationale is to favor active, liquid stocks showing a technical trend change. The article also gives example screening logic and Python code, but does not present performance results for the strategy.

The author notes that the screen omits company fundamentals and depends heavily on a single technical rule; a 30-week average may not suit every stock. Suggested additions include valuation measures and other indicators. The code examples include extra filters and implementation details, but the document does not explain their rationale or establish that the results are robust. Since the rule is tied to the current listing year, its eligible universe changes over time, and the article provides no transaction cost, survivorship, or out-of-sample analysis.

Key ideas

• The screen looks for stocks listed in the current year with turnover between 3% and 12%.
• Its technical signal is a weekly close crossing above a 30-week moving average.
• The turnover band is intended to select active stocks with some liquidity.
• The article identifies missing fundamentals and dependence on one technical threshold as risks.
• No backtest evidence is provided to show that the selection rule is profitable.

Tags

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