Stock Screening with Turnover, Opening Price Near the 10-Day Average, and Positive P/E

Summary

The document describes a Chinese equity screening rule that combines turnover from 3% to 12%, an opening price near the 10-day moving average of closing prices, and a positive price-to-earnings ratio. “Near” is operationalized in the example as an opening price within 5% above or below the average. A market-type exclusion also appears in the formula. Example formula and Python snippets show how to apply the conditions to stock data.

The stated rationale is to combine trading activity, short-term price positioning, and a basic profitability-related valuation filter; positive P/E excludes companies with negative earnings under the measure used. The post warns that such a simple screen may favor speculative moves and omits broader fundamental information. It suggests adding other valuation measures or more complex selection methods. No backtest, returns, or evidence that the thresholds produce a stable edge is given, and the rule is only a candidate for further research.

Key ideas

• The screen requires turnover between 3% and 12% and a positive P/E ratio.\nThe opening price must fall within 5% of the 10-day average closing price in the example.\nThe combination aims to capture trading activity, price positioning, and positive earnings valuation.\nThe author notes that the screen omits broader fundamental factors and may respond to speculative activity.\nNo backtest or performance evidence is supplied.

Tags

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