A Chinese Stock Screen for Turnover, Three Declining Sessions, and Ten-Day Gains

Summary

This stock-selection idea combines a turnover band of 3% to 12%, a positive ten-session gain below 35%, and three consecutive declining sessions. The article frames the setup as a way to find shares with recent strength that have pulled back, and provides formula and Python examples intended to screen Chinese equities. Its code samples use historical daily data and describe ranking or filtering candidates, though the implementation details are not fully consistent across the examples.

The article acknowledges that the screen omits company fundamentals and industry context, and that the upper gain limit may exclude some potentially attractive shares. It suggests adding fundamental filters and reconsidering the gain constraint or holding period. No backtest results, benchmark comparison, transaction costs, or risk-adjusted performance are reported, so the screen is a rule proposal rather than demonstrated evidence of an investable edge.

Key ideas

• The screen requires turnover between 3% and 12% and positive ten-session performance below 35%.
• It selects shares with three consecutive declining sessions after a period of gains.
• The document offers formula and Python examples for applying the conditions to Chinese stock data.
• It notes that fundamentals and industry characteristics are omitted and the gain ceiling may exclude candidates.
• No performance evaluation or trading-cost analysis is provided.

Tags

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