Turnover, Prior-Day Top-Trader Activity, and Weekly Moving Average Crossover

Summary

This Chinese equity screen requires turnover between 3% and 12%, a prior-day appearance on the securities exchange’s top-trader list, and a weekly 5-period moving average crossing above the 10-period average. The proposed rationale combines trading activity and an indicator of notable market participation with a trend signal. The article also offers formula and Python examples for expressing the filters, though the sample’s crossover condition appears inconsistent with the stated upward cross.

The author cautions that the selection omits company fundamentals, industry prospects, and other relevant measures, and that selected stocks may be volatile. Suggested improvements include adapting criteria to market conditions, reviewing longer-term trends, adding valuation measures, and applying risk controls. No backtest, return figures, or evidence of predictive performance is provided. The screen is therefore a loosely specified starting point for research, and its signals would need precise definitions and independent validation before use.

Key ideas

• The screen combines turnover in the 3% to 12% range with a prior-day top-trader-list appearance.
• It adds a weekly crossover of the 5-period moving average above the 10-period average.
• The sample code's crossover test appears inconsistent with the described upward cross.
• The document highlights missing fundamental analysis and volatility risk, and gives no performance results.

Tags

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