Screening Stocks by Turnover, Float Value, and Moving-Average Trend
Summary
The document outlines an equity selection rule that filters for turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a 20-day simple moving average above the 120-day average. The moving-average condition serves as a basic trend filter, while the turnover and capitalization ranges constrain liquidity and company size. It also provides example formula logic and an illustrative Python-style selection approach.
The article presents no historical test, return data, or comparison with alternative thresholds. It warns that the screen omits fundamental and broader market information, that technical signals can fail, and that short or narrowly chosen periods may overfit. It recommends adapting averages to market or industry conditions and incorporating fundamental analysis or additional indicators. The proposed screen is therefore a candidate-generation rule rather than a complete, validated investment strategy.
Key ideas
- The screen uses turnover and circulating market value ranges to define eligible stocks.
- It selects candidates when the 20-day moving average exceeds the 120-day average.
- The article provides formula and sample code illustrations, but no tested performance evidence.
- It cautions that the rule omits fundamental and market context and may be vulnerable to overfitting.
- Industry-specific periods and additional fundamental or technical inputs 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.