Screening Chinese Stocks by Turnover, Market Cap, and the 250-Day Average

Summary

The strategy screens main-board Chinese stocks for turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a prior close above the 250-day moving average. The article presents this as a trend filter combined with trading-activity and company-size constraints. It also gives formula and Python examples for calculating the moving average and applying the conditions.

The write-up offers no backtest or performance measurements. It notes that the 250-day average is slow to react and can produce delayed or misleading selections when used alone. Suggested refinements include adding other technical indicators, such as RSI or DMI, and fundamental measures such as revenue or profit growth. The screen therefore defines a candidate-selection rule, but does not specify portfolio construction, exit rules, or evidence of profitability.

Key ideas

• Candidates must have turnover from 3% to 12% and circulating market value from 5 billion to 10 billion yuan.
• The strategy selects stocks whose prior close is above the 250-day moving average.
• The moving-average condition is a lagging trend filter and may delay selections.
• The article suggests adding technical and fundamental factors but reports no backtest results.

Tags

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