A Seven-Day Decline Stock Screen with Turnover and Order-Flow Filters

Summary

This Chinese-language post describes an equity screen combining turnover between 3% and 12%, seven consecutive days of falling prices, and an outside-to-inside trading volume ratio above 1.3. It presents the filters as a mix of trading activity, price behavior, and a possible indication of buying interest, with the decline potentially identifying candidates for a rebound. The post includes example formula and Python implementations, though the examples use specific data fields and contain assumptions that may need adaptation to the data source.

The screen is a selection rule, not a tested trading strategy: the document reports no backtest, returns, or risk-adjusted results. It warns that buying after a prolonged decline can expose investors to manipulation or stocks with weak fundamentals or unattractive valuations. It suggests adding company and financial analysis and adjusting the conditions to fit the intended strategy. The proposed signals therefore need independent validation, including careful definitions of the price decline and order-flow ratio.

Key ideas

• The screen requires turnover between 3% and 12%, seven consecutive falling days, and an outside-to-inside volume ratio above 1.3.
• The post frames the price decline as a possible rebound signal and the volume ratio as an indicator of buying interest.
• The example formulas and code may need adjustment for the chosen data source and field definitions.
• The post supplies no performance test and warns that price-only selection can overlook weak fundamentals or manipulation risk.
• It recommends combining the screen with fundamental analysis and tuning its conditions to the intended strategy.

Tags

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