Turnover, Ten-Day Average, and Daily-Change Stock Screen
Summary
This Chinese stock-selection note proposes filtering shares by turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a daily price change greater than -5% but below 2.6%. The moving-average proximity is intended to identify stocks opening near their recent trend, while the turnover and daily-change bands constrain trading activity and price movement. The note includes formula and sample-data illustrations of the filter.
It characterizes the broader daily-change range as a way to find more relatively stable candidates, while warning that the looseness of that range may admit stocks vulnerable to market swings. It also says a purely technical screen can overlook fundamentals and recommends adding other analytical dimensions and adjusting the rules as market conditions change. No backtest, performance evidence, or systematic risk controls are given. The screen does not define trade timing after selection, exits, or position sizing, so it is a candidate-selection rule rather than a complete strategy.
Key ideas
- The screen requires turnover between 3% and 12% and an opening price within 5% of the 10-day moving average.
- It limits the daily price change to a range above -5% and below 2.6%.
- The article warns that a relatively broad change range can admit volatile stocks.
- It recommends supplementing technical filters with fundamental analysis and adapting to market conditions.
- No backtest results or complete trade-management rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.