Screening for Moderate Turnover, Three Down Days, and Converging Moving Averages

Summary

This stock screen looks for turnover between 3% and 12%, three consecutive declining sessions, and at least five moving averages that converge. The article interprets moving-average convergence as a sign of a stable trend and combines it with recent weakness in an attempt to identify candidates. It includes example implementations for a Chinese market platform and Python, but the formulas and code contain differing definitions of the conditions.

The stated screen treats turnover, consecutive declines, and moving-average alignment as selection criteria; it does not define a subsequent entry, exit, or position-sizing rule. No backtest, return data, or comparison against a benchmark is supplied. The article acknowledges that the number of averages and selection timing affect results and suggests adding technical, fundamental, listing-age, size, or industry filters. The interpretation that converging averages imply investment value is not substantiated, and exact equality between moving averages can be overly restrictive or sensitive to rounding.

Key ideas

• The proposed screen combines turnover from 3% to 12%, three declining sessions, and convergence among five moving averages.
• The article treats average convergence as an indication of trend stability, but provides no supporting performance evidence.
• The platform formula and Python example do not implement all conditions in precisely the same way.
• The screen does not specify trade entries, exits, or portfolio risk controls.
• Additional technical, fundamental, size, and industry filters are suggested as possible refinements.

Tags

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