Chinese Stock Screen for Seven Down Sessions, Moderate Turnover, and Positive PE

Summary

This document describes a Chinese equity screen requiring turnover between 3% and 12%, seven consecutive declining sessions, and a positive price-to-earnings ratio. Its rationale is to combine a liquidity constraint with recent weakness and a basic profitability proxy. It includes both a formula-style rule and a Python example for checking the turnover, price sequence, and PE conditions.

The article presents no backtest, selected-stock examples, or return evidence. It cautions that a positive PE does not establish fair valuation and that industry conditions and market cycles may affect outcomes. It recommends adding industry or fundamental context. The supplied examples may also operationalize the seven-day decline condition differently, so an implementation should verify that it tests consecutive day-to-day declines rather than only comparing prices across the full interval.

Key ideas

• The screen requires turnover between 3% and 12%, seven consecutive down sessions, and PE above zero.
• The approach combines a liquidity range, recent price weakness, and a positive earnings-based valuation measure.
• The document provides formula and Python examples but no performance evidence.
• A positive PE does not guarantee fair pricing, and industry or market cycles are omitted.
• The sample implementations may differ in how they verify consecutive declines.

Tags

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