Screening Shanghai-Listed Stocks by Turnover and Moving-Average Trend

Summary

The document describes an equity screening rule for stocks with codes beginning with 60. It selects shares whose turnover rate is between 3% and 12% and whose 20-day simple moving average is above the 120-day average. The longer and shorter averages provide a basic trend filter, while turnover constrains the activity of eligible stocks. A Python example outlines retrieving listed-stock data, calculating the averages, checking daily turnover, and collecting qualifying symbols; it does not report a tested portfolio or performance results.

The author notes that the screen relies on technical conditions and omits industry, macroeconomic, and policy factors. The rule therefore identifies candidates rather than establishing that they are suitable investments or will rise. The example also depends on historical price and daily-basic data from an external provider, and its date handling is tied to a specified calendar range. No entry timing, exit rule, position sizing, transaction costs, or risk controls are defined, so the selection logic alone is not a complete trading strategy.

Key ideas

• The screen selects stocks with codes beginning with 60 and turnover between 3% and 12%.
• It requires the 20-day moving average to exceed the 120-day moving average.
• The code example calculates moving averages from daily closing prices and checks turnover data.
• The document presents a candidate-selection rule, not a complete trade or portfolio method.
• Industry, macroeconomic, and policy conditions are not included in the screen.

Tags

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