Screening Shanghai-Listed Stocks by Turnover and Long-Term Trend

Summary

This post outlines a rule-based screen for Shanghai-listed shares with codes beginning in 60. It first restricts candidates to stocks with turnover between 3% and 12%, then requires the previous day’s price to exceed its 250-day moving average. The stated rationale is to find relatively active stocks whose prices remain above a long-term trend measure. The post also gives an example workflow for obtaining stock and daily price data, calculating the moving average, and checking the prior session.

The screen relies on turnover and one technical indicator; it does not test whether these filters predict future returns or define portfolio sizing, exit rules, transaction costs, or rebalancing. The author warns that the method ignores profitability, valuation, and other fundamentals, and may chase short-term strength or fail during a market reversal. Suggested extensions include combining fundamental measures with volume, RSI, or moving averages over different horizons. No performance evidence is provided, so the rule should be treated as a screening idea rather than a validated strategy.

Key ideas

• The screen selects Shanghai-listed stocks with turnover in the stated range and price above the 250-day moving average.
• The moving-average filter is intended to identify stocks trading above a long-term trend reference.
• The rule omits fundamentals, portfolio construction, exits, costs, and evidence of predictive performance.
• The post suggests adding fundamental and other technical measures to broaden the selection process.

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