Stock Screen Using Turnover, Recent Limit-Ups, and a Weekly Moving Average Cross

Summary

This proposed A-share screen selects stocks with turnover between 3% and 12%, at least one limit-up event in the preceding 25 days, and a weekly close crossing above the 30-week moving average. The intended rationale is to combine trading activity, a recent sign of strong price demand, and a longer weekly trend signal. The document supplies a formula and sample code, but the examples contain inconsistencies: the code appears to check a cross in the opposite direction, and several data conditions do not clearly match the stated rule.

The author warns that a screen relying heavily on technical indicators can be rigid and may not adapt well to market conditions. The suggested improvements include adding fundamental measures and reviewing the number of filters. No historical test, return data, or evidence of predictive performance is included, so the setup is a proposed screening idea rather than a demonstrated strategy.

Key ideas

• The screen combines a turnover range, a limit-up event within the previous 25 days, and a weekly moving-average cross.
• Recent limit-up activity is used as a proxy for strong demand or market interest.
• A 30-week average provides a longer-horizon trend condition.
• The sample code appears inconsistent with the stated upward cross rule.
• The document gives no test results and recommends considering additional fundamentals and market context.

Tags

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