Weekly Moving Average Screening with Turnover and Market Cap Filters

Summary

This Chinese A-share screening note starts with a turnover range of 3% to 12%, excludes Beijing-listed stocks, and looks for a weekly five-period moving average crossing above the ten-period average. It warns that relying on one technical signal can miss company value and other relevant factors, then proposes a revised screen using weekly moving-average alignment across longer periods and a market-cap threshold above 10 billion yuan.

The document provides indicator and Python examples, but they do not fully match the stated screening logic: the code checks ordered moving-average levels rather than explicitly testing a crossover, and the examples do not consistently implement the turnover and exchange filters. No backtest results or performance evidence are supplied. The author recommends incorporating fundamentals and adjusting moving-average choices to market conditions, so the screen is best read as a basic candidate-selection rule rather than a validated strategy.

Key ideas

• The initial screen requires 3% to 12% turnover and excludes Beijing-listed A-shares.
• It selects stocks based on a weekly five-period moving average crossing above the ten-period average.
• The proposed revision uses longer weekly moving averages and requires market capitalization above 10 billion yuan.
• The author cautions that moving-average signals alone omit fundamentals and can be vulnerable to unusual market conditions.

Tags

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