A Chinese Stock Screen Using Turnover, Three Down Days, and Positive Profits

Summary

This stock-selection screen combines a market-cap ceiling, a turnover range, three consecutive declining sessions, and positive cumulative net profit. The stated final logic selects companies below 10 billion yuan in market value, with turnover between 3% and 12%, and positive cumulative profit. The accompanying material gives example screening conditions and sketches implementations using Chinese stock data sources.

The article frames the three down days as an additional filter alongside size and turnover, but supplies no backtest results, comparison universe, or evidence that the combination predicts returns. It cautions that the screen omits broader fundamentals and industry characteristics, and suggests adding measures such as profit growth or valuation. Some code details appear inconsistent with the prose description, including how turnover and price declines are computed, so the stated selection concept is clearer than the implementation. The strategy is specific to Chinese equities and requires careful data and formula validation before use.

Key ideas

• The screen combines a market-cap ceiling, a turnover band, three consecutive down days, and positive cumulative net profit.
• The article gives sample formulas and code sketches for implementing the selection logic.
• It warns that omitting broader fundamentals and industry context can lead to poor selections.
• The document contains possible mismatches between the prose criteria and code calculations, so the implementation needs validation.
• No backtest or performance evidence is provided.

Tags

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