A-Share Screen for Turnover and Three Declining Sessions
Summary
The document describes a Chinese A-share screening rule that excludes Beijing-listed stocks, selects shares with turnover between 3% and 12%, and requires three consecutive sessions with falling closes. It presents the rule as a more combined screen than market and turnover filters alone. The accompanying indicator example uses declining three-day average prices, while the Python example checks recent closing-price declines and a ten-session price change as its turnover proxy; these implementations do not fully match the stated screening rule.
No backtest, performance figures, or evidence of predictive value is provided. The text notes that the screen lacks fundamental and broader technical filters, and that excluding Beijing shares limits coverage. It suggests considering valuation, dividend yield, relative strength, and sector or industry analysis. These additions are suggestions rather than validated improvements, and the document does not specify execution, portfolio construction, or risk controls.
Key ideas
- The screen targets non-Beijing A-shares with turnover from 3% to 12%.
- Its stated price condition is three consecutive declining sessions.
- The example implementations differ from the stated rule, including their price calculations and turnover proxy.
- The document provides no performance evidence and recommends further fundamental, technical, and sector analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.