Screening Equities by Turnover, Float Value, and Moving-Average Conditions

Summary

This note proposes a Chinese equity screen using a turnover range, a circulating market value range, and a moving-average condition. The stated aim is to find stocks with at least five moving averages converging, which the author associates with relative price stability and an upward overall trend. The article includes sample formulas and Python-like code, but the implementations do not clearly match the stated rule: the formula counts closes above a five-day average, while the prose refers to overlap among multiple averages, and the sample code does not implement the turnover filter.

The author warns that the screen ignores company fundamentals and may admit stocks with weak earnings or poor past price behavior. Suggested refinements include choosing moving-average types and periods more carefully and adding valuation or dividend measures. No backtest, performance evidence, transaction-cost assumptions, or precise definition of average convergence is supplied, so the screen requires clarification and testing before practical use.

Key ideas

• The proposed screen combines turnover and circulating market value bounds with a moving-average condition.
• The article describes at least five overlapping averages, but its sample formula instead counts closes relative to a five-day average.
• The provided code omits the stated turnover condition, so the examples may not implement the full screen.
• The author notes that the method can select firms with weak fundamentals or poor price histories.
• No backtest or performance evidence is given.

Tags

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