Chinese Equity Screen: Turnover, Three Falling Closes, and Rising DEA

Summary

This Chinese equity screening proposal combines three conditions: turnover between 3% and 12%, three consecutive declining closes, and a rising DEA line from MACD. The stated rationale is to look for stocks with potential upside after a short run of losses, while requiring DEA to be increasing. The document also suggests broadening the screen with fundamental measures such as valuation ratios and other technical indicators.

It warns that the setup uses technical data alone and cannot reliably predict future prices amid changing market conditions. The article includes example formula and Python snippets, but the implementation shown has material limitations: it derives a purported turnover measure from changes in volume rather than shares traded relative to shares outstanding, and its falling-close check compares closing prices rather than explicitly testing each session's candle direction. No backtest, portfolio rules, or performance results are supplied, so the screen is a hypothesis requiring careful data correction and validation.

Key ideas

• The proposed screen requires turnover from 3% to 12%, three consecutively declining closes, and a rising MACD DEA line.
• The rationale is to identify stocks that may rebound after recent weakness while DEA rises.
• The article proposes adding fundamental measures and other technical indicators for broader analysis.
• The example code's volume-based proxy does not establish actual turnover as a percentage of shares outstanding.
• The document provides no backtest or performance evidence and acknowledges market and prediction uncertainty.

Tags

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