Stock Screening with Turnover, Price Gains, and Weekly Moving Averages

Summary

This stock-selection note describes a screen using turnover between 3% and 12%, a 10-day gain above zero and below 35%, and a weekly five-period moving average crossing above the ten-period average. It says to run the selection before 10 a.m. and frames the weekly crossover as a way to include trend direction alongside recent price performance and trading activity. A Python example sketches how to retrieve Chinese stock data and apply related filters, but it is a reference implementation rather than a validated strategy.

The article acknowledges that its screening criteria are broad and may admit risky companies. It offers no backtest results, benchmark, transaction-cost analysis, or evidence that the filters predict future returns. The example also contains apparent inconsistencies with the stated rules, including how the weekly moving-average condition and turnover values are checked, so its implementation should not be treated as a faithful or production-ready specification. The note suggests adding other technical, financial, or macroeconomic information, but provides no tested method for doing so.

Key ideas

• The proposed screen combines turnover, a bounded 10-day price gain, and a weekly moving-average crossover.
• The author presents the weekly crossover as a trend filter and recommends making selections before 10 a.m.
• The note warns that broad criteria can include stocks with substantial risk.
• The accompanying example does not provide performance evidence and appears inconsistent with parts of the stated screening logic.

Tags

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