Stock Screening Around the 10-Day Average with Auction Turnover

Summary

This Chinese stock-screening note proposes three conditions: prior-session amplitude above a threshold, the current open near the 10-day moving average, and prior auction turnover above a specified level. The accompanying explanation treats these as signs of short-term price movement, a possible adjustment near the average, and active trading. Example formulas and Python-like snippets illustrate measuring amplitude, comparing the open with a band around the moving average, and filtering on turnover.

The examples differ in timing and construction: the formula uses lagged high, low, and close values and a two-session turnover reference, while the Python example computes turnover from volume and total shares and shifts it by one period. The note gives no backtest, return evidence, or operational definition for “near” beyond the sample band. It warns that auction turnover alone may obscure a stock’s underlying value and that very high activity can accompany excessive price swings. It suggests adding valuation measures and adjusting the threshold, but provides no tested optimization.

Key ideas

• The screen combines prior amplitude, an opening price near the 10-day average, and prior auction turnover.
• The examples define the moving-average proximity as a band around the average.
• The formula and Python snippets apply different lags to the auction-turnover condition.
• The document provides no performance results and notes that turnover can reflect elevated risk.

Tags

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