Chinese Stock Screen for Seven Down Days and Mid-Cap Float

Summary

The document describes a Chinese equity screening rule that combines turnover between 3% and 12%, seven consecutive days of price declines, and circulating market value between 5 billion and 10 billion yuan. It frames the decline streak as a possible contrarian rebound signal and the market-cap range as a way to focus on relatively moderate-sized companies. It also provides example formula and Python snippets, though the Python condition checks whether each day's low is below its open rather than whether the stock declined from the prior day.

The authors warn that stocks falling for several sessions may be vulnerable to large-player influence, and that a narrow market-cap filter can exclude potentially attractive companies. They suggest adding valuation and fundamental measures such as price-to-earnings and price-to-book ratios. No backtest, performance evidence, or rules for portfolio construction and exits are supplied, so the proposed rebound rationale remains untested in the document.

Key ideas

• The screen combines a turnover range, a seven-day decline streak, and a circulating market-value band.
• The article presents consecutive declines as a possible setup for a contrarian rebound.
• Its Python example tests intraday low versus open, which does not directly implement consecutive daily declines.
• The authors recommend adding valuation and fundamental filters to address risks in the basic screen.
• The document provides no backtest or evidence that the selection rules produce profitable trades.

Tags

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