A China Stock Screen for Large Ranges, Turnover, and Three-Day Declines

Summary

The proposed China equities screen selects stocks with a daily amplitude above 1, prior-day actual turnover between 3% and 28%, and three consecutive sessions of falling closes. The rationale is to find stocks with recent weakness and the possibility of a rebound, using price range, turnover, and short-term price direction as filters. The document includes sample formula and Python snippets intended to illustrate the conditions.

The post itself cautions that the screen relies mainly on historical prices and trading activity, leaving company fundamentals, valuation, broader market direction, and other risks unmodeled. It offers no backtest or performance evidence and notes that the simple filters may produce noisy selections. The code examples use separate sample data calls and do not establish that the conditions are correctly aligned into a reliable live or historical test; the stated thresholds should therefore be understood as screening parameters, not evidence of an edge.

Key ideas

• The screen combines daily amplitude, prior-day turnover, and a three-session sequence of declining closes.
• Its rebound premise is that recent price weakness may precede a recovery.
• The post warns that price and turnover filters alone omit fundamentals and broader market conditions.
• No backtest results are provided, and the post acknowledges that selections may be random or risky.
• The included code is illustrative and requires adjustment for actual data and use.

Tags

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