Stock Screening by Turnover, 10-Day Average Proximity, and Low Price

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a closing price below 12 yuan. The stated idea is to combine trading activity with proximity to a short-term average while limiting the nominal share price. The note includes formula and data-frame examples that express these filters, along with an additional market-type exclusion in the formula version.

The author cautions that the rule may encourage chasing or selling into price moves, and that a low share price does not by itself mean a stock is undervalued. Company quality and market conditions are not assessed. No backtest, sample, or performance evidence is supplied, so this is a mechanical screening recipe rather than a validated strategy. Suggested fundamental filters are presented as possible extensions, not tested enhancements.

Key ideas

• The screen requires turnover between 3% and 12%.
• The opening price must be within 5% of the 10-day moving average.
• The closing share price must be below 12 yuan.
• A low nominal share price does not establish that a stock is undervalued.
• The document gives no backtest or evidence of strategy performance.

Tags

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