A Turnover and Engulfing-Pattern Screen at a Fixed Share Price

Summary

This note proposes screening listed Shenzhen equities for turnover between 3% and 12%, an engulfing-style reversal pattern, and a closing price of 18.5 yuan. Its indicator formula also checks for a large move spanning both sides of the previous close. The note frames the pattern and turnover as signs of trading activity and possible momentum, and includes formula and Python examples for applying the filters.

No backtest, sample results, or evidence of predictive value is presented. The price constraint is highly specific, and the document itself advises that the screen omits company fundamentals and convertible-bond conditions. There is also an inconsistency in its description: the main conditions concern shares, while some risk discussion refers to convertible bonds. The pattern definition and data implementation should be checked before use, and the rule is best treated as an illustrative screen rather than a validated trading system.

Key ideas

• The proposed screen combines turnover from 3% to 12%, an engulfing-style pattern, and a closing price of 18.5 yuan.
• The formula checks for a wide move on both sides of the prior close and limits the exchange and listing status.
• The document provides code examples but no empirical performance evidence.
• The fixed price and omission of fundamentals limit the screen's scope.
• The prose refers to convertible bonds even though the filters describe equities, so the instrument scope is unclear.

Tags

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