Chinese Stock Screen Combining Turnover Bands with an Engulfing Pattern

Summary

This document describes an equity screen that combines an engulfing-style reversal pattern with turnover constraints. The stated conditions require turnover between 3% and 12% while also requiring it to be above 2% and below 9%; taken together, the effective turnover range is above 3% through 9%. The example formula further specifies a price condition, listed status, and Shenzhen exchange. The accompanying Python outline computes range-based values, filters turnover, and merges data to produce candidate stocks.

The source frames turnover as a liquidity and market-attention proxy and the pattern as a way to identify possible market interest. It reports no backtest, returns, or comparison with a benchmark. It also notes that the approach excludes company fundamentals and may select liquid but financially weak firms. The explanation does not fully clarify how its computed pattern values relate to the formula’s stated condition, so implementation details merit scrutiny.

Key ideas

• The screen combines a reversal-style candlestick pattern with turnover filters.
• The overlapping turnover constraints imply a range above 3% and below 9%.
• The example also restricts candidates to listed stocks on the Shenzhen exchange.
• The document offers formula and Python examples but no test results or performance evidence.
• It warns that turnover-based selection omits fundamentals and can include financially weak companies.

Tags

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