A Chinese Stock Screen Combining Turnover, Reversal, and Opening Limit Price

Summary

This Chinese equity screening note selects stocks with turnover between 3% and 12%, a candlestick pattern described as a reversal or engulfing move, and a prior-day 9:15 matched price at the down-limit. It provides a formula-style condition and a Python example that calculates a range-based reversal measure from daily highs, lows, and previous closes. The note also suggests adding technical indicators, capital-flow data, and fundamental analysis to broaden the screen.

The author cautions that an opening matched price at the down-limit alone does not establish that a stock’s value or business outlook has deteriorated, and that relying on a few filters can exclude other candidates. The example uses daily data and margin-detail fields as proxies, so it does not clearly establish that it reproduces the stated prior-day 9:15 price condition. No performance test or evidence of predictive value is provided; the screen is a hypothesis for further research, not a validated strategy.

Key ideas

• The screen combines a 3%–12% turnover band with a reversal condition and a prior-day 9:15 down-limit matched price.
• The example estimates reversal using the current daily trading range relative to the previous close.
• A down-limit opening match by itself does not indicate why the price moved or whether the stock is fundamentally impaired.
• The article recommends evaluating additional technical, capital-flow, and fundamental factors.
• The code example does not clearly demonstrate a direct check of the specified 9:15 matched price.

Tags

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