Selecting Shanghai-Listed Stocks by Turnover and Opening Price Near the 10-Day Average

Summary

The screening rule selects Chinese stocks whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose opening price is near the 10-day moving average. The accompanying explanation presents turnover as a liquidity filter and the opening-price condition as a way to screen for a technical position around a recent average. A code example computes a rolling average of daily opening prices and keeps stocks whose latest opening price is within roughly one percent of that average; it then retrieves market capitalization for the selected names and sorts them.

The article characterizes the screen as potentially vulnerable to rapid market moves and news-driven changes, and suggests adding technical or fundamental filters. It does not report historical returns, risk statistics, or evidence that the criteria predict performance. The code also does not implement the stated turnover condition, and the opening-price average and date choices may not align with the broader description. These details would need checking before evaluating the screen.

Key ideas

• The screen combines a turnover band, a stock-code prefix, and an opening price near the 10-day average.
• The example compares the latest opening price with a rolling average of daily opening prices.
• The accompanying code retrieves market capitalization and sorts selected stocks by that value.
• The article warns that rapid market changes can undermine the screen and proposes additional filters.
• No return or risk evidence is reported, and the code omits the stated turnover filter.

Tags

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