Screening Stocks by Turnover, Reversal, and Moving-Average Convergence

Summary

This proposed Chinese stock screen combines a turnover range of three to twelve percent, a reversal pattern described as a rebound after a decline, and at least five overlapping moving averages. The rationale is that clustered averages may indicate a compressed price area, while turnover is intended to retain actively traded stocks. The document also mentions adding valuation, market capitalization, or RSI as further filters, and recommends testing the rule over historical data.

It offers formula and Python examples, but no evidence that the screen predicts returns or improves risk-adjusted performance. The code’s moving-average logic does not clearly implement the stated count of overlapping averages, and the formula examples appear to test moving-average crossovers rather than convergence. The reversal condition is also not fully specified. These gaps make the operational rule ambiguous; the screen should be treated as an unvalidated technical-selection idea, with its definitions clarified before evaluation. Fundamentals, exits, costs, and portfolio risk are not developed.

Key ideas

• The proposed screen combines turnover, a rebound pattern, and convergence among multiple moving averages.
• The author presents turnover as a way to focus on actively traded stocks.
• Valuation measures, market capitalization, and RSI are suggested as additional filters.
• The sample code and formulas do not clearly match the stated convergence and reversal conditions.
• No backtest results or risk-adjusted performance evidence are provided.

Tags

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