A Stock Screen Combining Turnover, Three Down Days, and DDI

Summary

The document describes a Chinese equity screen that combines turnover between 3% and 12%, three consecutive declining sessions, and a condition related to yesterday’s DDI indicator. Its rationale is to use trading activity and recent price direction alongside an indicator interpreted as major-player control. The article includes formula and Python examples, although the code does not consistently implement the stated conditions: for example, its price comparisons may not verify three bearish candles, and the DDI transition is described differently across sections.

The author notes that the screen omits company fundamentals and that historical price behavior may not predict future returns. DDI data may also be difficult to obtain or inaccurate. Suggested improvements include adding fundamental, policy, and other trading measures and cross-checking data sources. No backtest, return series, or evidence of effectiveness is presented, so this is best read as a screening idea rather than a validated trading strategy.

Key ideas

• The proposed screen selects stocks with turnover from 3% to 12%, three declining sessions, and a DDI condition tied to the prior day.
• The approach combines price behavior, turnover, and an indicator intended to represent major-player control.
• The formula and code examples contain inconsistencies with parts of the stated selection logic.
• The article flags missing fundamental analysis, uncertain predictive value, and possible DDI data errors.
• It provides no backtest or performance evidence.

Tags

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