A Turnover and Reversal Screen for Shanghai-Listed Stocks

Summary

This note describes a Chinese equity screen combining average turnover between 3% and 12%, a Shanghai listing code beginning with 60, and a reversal pattern. It frames turnover as a liquidity filter and the reversal condition as a way to find potential trend changes. It also provides a formula reference and a Python example that fetches stock data, applies turnover and price-pattern checks, and ranks candidates by observed limit-up frequency.

The note offers no backtest or performance evidence for the screen. Its price conditions are not fully consistent across the written description, formula, and code, so the exact reversal pattern requires clarification before implementation. The author identifies the absence of fundamental analysis and exposure to broader market conditions as limitations, and suggests adding measures such as profit growth and leverage. The result should be treated as a screening idea rather than a demonstrated trading strategy.

Key ideas

• The screen combines turnover between 3% and 12% with Shanghai-listed stocks and a reversal pattern.
• Turnover is used as a liquidity filter, while the price condition seeks potential reversals.
• The formula and code express differing price-pattern conditions, making the intended signal ambiguous.
• The note provides no evidence that the screen produces profitable returns.
• Fundamental measures and broad market conditions are suggested as additional considerations.

Tags

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