A-Share Screen for Seven Down Days and Rising Institutional Positioning

Summary

This A-share screen combines three conditions: a reported increase in net positioning above 5%, seven consecutive declining sessions, and a listing year of 2021. The article frames the combination as a way to find recent listings that have fallen for several sessions while showing a positive positioning signal. It later adds valuation filters, specifying a price-to-earnings ratio below 20 and a price-to-book ratio above 1, and gives a basic pandas example for filtering data.

The rationale is not supported by backtests, return statistics, or a comparison group. The source's interpretation of positioning as institutional buying is not substantiated by a definition of the measure, and its description of the 2021 listing year as evidence of stability is not demonstrated. Seven consecutive declines can signal persistent weakness, while a positioning indicator may be wrong or incomplete. The article recommends considering valuation and broader data sources, but the supplied code's core filter does not include the later valuation conditions.

Key ideas

• The initial screen requires net positioning above 5%, seven consecutive down sessions, and a 2021 listing year.
• The final stated rule adds price-to-earnings below 20 and price-to-book above 1.
• The article provides no performance evidence for the combination.
• The meaning of the positioning measure and its link to institutional buying are not established.
• The example code omits the valuation filters added to the final rule.

Tags

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