Stock Screening with Turnover, a 10-Day Average, and a Weekly Trend Signal

Summary

This Chinese-equity screening rule combines a turnover band, proximity of the opening price to a short moving average, and a longer-term trend condition. It selects stocks with turnover from 3% through 12%, an open within 5% of the 10-day moving average, and a weekly price signal crossing above the 30-week moving average. The stated intent is to pair liquidity and short-term price stability with a longer-horizon trend filter.

The document includes formula and Python examples but provides no backtest, performance record, or threshold-selection evidence. It cautions that a slower trend signal may leave positions exposed to short-term drawdowns and broader market risk. It suggests adding volume and fundamental measures. The examples express the weekly crossover condition differently, so an implementation should verify that its data frequency and crossover definition match the intended weekly signal.

Key ideas

• The screen combines turnover between 3% and 12% with an opening price within 5% of the 10-day average.
• A weekly crossover above the 30-week average is intended to identify a longer-term upward trend.
• The note provides implementation examples but no performance or backtest evidence.
• The author notes market risk and the possibility that slower signals may allow short-term gains to erode.
• Volume and fundamental measures are suggested as possible additional filters.

Tags

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