Chinese Equity Screening by Turnover, Reversal, and Market Value

Summary

This document describes a Chinese equity screen that combines a turnover-rate band, a reversal-related price measure, and a minimum market value. Its example implementation also restricts candidates to listed Shenzhen stocks and includes a low-price condition. The reversal measure is calculated from the day’s high, low, and previous close, then filtered using a threshold; the stated rationale is to favor liquidity and scale that may support trading efficiency.

The post provides screening logic and sample code, but no backtest, performance statistics, or evidence that the filters improve returns. The accompanying discussion notes that the screen may miss smaller growth companies and does not assess other fundamentals. It suggests adding fundamental or technical criteria, though it does not test those changes. The examples use a particular historical trading date, and the title’s broad description does not include every condition shown in the code, so the exact screening rules should be checked before reuse.

Key ideas

• The screen selects stocks by turnover, a reversal-related price measure, and market value.
• The sample implementation further limits candidates to listed Shenzhen stocks and adds a low-price filter.
• The post offers no performance results to validate the proposed selection logic.
• The author notes that omitted fundamentals and small-cap stocks are limitations.

Tags

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