A Chinese Stock Screen Combining Price Action, Turnover, and Fundamentals

Summary

The document describes a Chinese equity screening rule combining daily price amplitude, a rising price floor, and prior-day turnover within a stated range. Its fuller proposed filter also requires the 20-day moving average to exceed the 250-day average, stable profitability over five years, valuation limits, and exclusion of ST-designated stocks. It suggests exit conditions based on the 30-day moving average or a specified daily loss threshold, and includes partial formula and Python illustrations.

The accompanying commentary frames turnover as a measure of trading activity and warns that technical filters can miss company fundamentals and reflect short-term sentiment. It proposes adding valuation, growth, industry context, or other turnover measures. The text supplies no backtest methodology or performance evidence, and the code snippets contain ambiguities, so the screen should be treated as an illustrative rule set rather than a validated strategy.

Key ideas

• The initial screen combines price amplitude, a rising low-price structure, and prior-day turnover constraints.
• The expanded filter adds moving-average alignment, profitability, valuation limits, and exclusions for specially designated stocks.
• The proposed exits use a moving-average breach or a daily loss threshold.
• The commentary warns that turnover can reflect short-term sentiment and that technical filters omit fundamental context.
• No backtest results are provided, and the code examples are incomplete or ambiguous.

Tags

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