Screening Shanghai-Listed Stocks by Turnover and Ten-Day Average

Summary

This stock screen selects securities whose turnover ratio is between 3% and 12%, whose opening price is within 5% of the ten-day moving average of closing prices, and whose codes begin with 60. The document provides equivalent rule expressions and a Python example that fetches stock data, calculates a rolling ten-day average, applies the turnover and price filters, and collects matching securities.

The rationale offered is that turnover may capture trading activity and proximity to the moving average may reflect short-term price behavior. It also warns that the filters can leave a small selection universe and that short-term technical and code-based criteria omit fundamentals. Suggested refinements include adding industry, market-capitalization, fundamental, or other technical filters. The document provides no backtest, returns, comparison group, or validation of the proposed screen; its code and stated rationale therefore do not establish predictive value.

Key ideas

• The screen requires turnover between 3% and 12% and an opening price within 5% of the ten-day closing-price average.
• It limits eligible stocks to codes beginning with 60.
• The provided Python example applies the code, turnover, and moving-average conditions to historical data.
• The document warns that the filters may produce few stocks and omit fundamental information.
• No backtest or evidence of predictive performance is reported.

Tags

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