Stock Screening by Turnover, Listing Year, and Moving-Average Overlap

Summary

This Chinese equity screen selects stocks with turnover between specified bounds, a listing year of 2021, and at least five overlapping moving averages. The article presents turnover as a liquidity consideration and moving-average overlap as a technical condition. It also includes a formula and a Python example intended to illustrate how to identify candidates from stock and price data.

The stated limitations are that the chosen number and periods of moving averages may not suit changing market conditions, and the filter may exclude stocks with potential that have recently performed poorly. The author proposes adding valuation measures and adapting the rules to market conditions. There is no backtest, return analysis, or evidence that the filters forecast performance. The provided examples also contain implementation inconsistencies: the formula expresses a combination of pairwise moving-average equalities, while the Python logic does not clearly operationalize the requirement that five averages overlap. The screen therefore needs precise definitions and validation before use.

Key ideas

• The selection rules combine a bounded turnover range, a specified listing year, and moving-average overlap.
• The article treats turnover as a liquidity filter and moving-average confluence as a technical screen.
• It notes that fixed moving-average settings may not fit all market environments.
• The examples do not clearly implement the stated overlap condition, and no performance evidence is reported.

Tags

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