A-Share Screen for Turnover and Three Consecutive Down Days
Summary
This note describes a Chinese A-share stock screen that selects shares with turnover between 3% and 12%, excludes Beijing-listed stocks, and looks for declines across three recent trading days. It presents the setup as a short-term reversal idea: a run of losses could precede a rebound. The article also recommends considering company governance, industry conditions, and financial measures alongside price behavior.
The document provides indicator and Python examples, but their conditions do not fully match the written description: the indicator formula checks two earlier close-to-close declines, while the Python snippet uses a separate comparison and does not clearly implement every stated filter. No backtest or performance evidence is supplied. The author cautions that short-term price patterns do not capture long-term investment value and that sharp price swings may make the screen unreliable. The reversal rationale is a hypothesis, not a demonstrated result.
Key ideas
- The screen combines a 3%–12% turnover range with an exclusion for Beijing-listed A-shares.
- It seeks stocks with recent consecutive price declines as a possible short-term reversal setup.
- The article suggests adding company, industry, and financial analysis before selecting stocks.
- The provided examples differ in how they express the written selection conditions.
- No performance testing is reported, and short-term price behavior may be volatile.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.