A Chinese Stock Screen Using Turnover, Recent Returns, and Intraday Drawdown

Summary

This Chinese-language post proposes screening mainland Chinese stocks using turnover, recent price performance, and the day’s maximum decline. The stated rules require turnover between 3% and 12%, a positive return over the prior ten days below 35%, and an intraday maximum drawdown between 4% and 5%. It suggests running the screen before 10 a.m. and describes the conditions as a way to constrain the candidate list by activity and price behavior. The post also includes a sample stock-data workflow, though its code and prose do not consistently express every rule in the same way.

The author warns that early selections may be affected by overnight news and broad-market moves, and that relying on a single drawdown measure omits other financial and technical information. Suggested additions include profitability, return on equity, MACD, relative strength, and machine-learning methods. No backtest, benchmark, or measured performance is supplied, so the screen is a candidate-selection idea rather than validated evidence of an edge.

Key ideas

• The proposed screen combines turnover between 3% and 12% with a positive ten-day return below 35%.
• It further requires an intraday maximum decline between 4% and 5% in magnitude.
• The post suggests selecting candidates before 10 a.m., making the results potentially sensitive to news and market movements.
• The author recommends adding fundamental and technical measures, but reports no backtest or performance evidence.
• The example code does not fully align with the written screening conditions.

Tags

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