A Turnover and Reversal Screen for Small-Float Chinese Stocks

Summary

This document describes an equity screen combining a 3%–12% turnover-rate range, a candlestick reversal condition, and a circulating-share limit of 5.5 billion shares. It gives a corresponding formula and sample data workflow that calculates a reversal measure from daily highs, lows, and prior closes, then filters stocks by market capitalization and turnover. The example also narrows the universe to listed Shenzhen main-board stocks.

The article explains the rationale as finding active stocks while limiting exposure to very large share floats. It supplies no backtest results, performance data, or evidence that the conditions predict returns. The selection logic omits company fundamentals, and the article itself notes that very small floats can create liquidity risk. It suggests adding technical and fundamental inputs or tuning the model, but does not demonstrate those extensions.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and a reversal pattern.
• It limits the eligible circulating share count to no more than 5.5 billion shares.
• The sample workflow derives a reversal measure from daily price ranges and prior closes.
• The article provides no evidence of profitability or measured risk-adjusted performance.
• Small-float stocks may have limited liquidity, and the screen does not account for fundamentals.

Tags

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