Chinese Stock Screen for Turnover, Reversal Candles, and Daily Declines

Summary

This Chinese-market stock screen combines turnover, a reversal-style candle condition, and a daily price-decline band. It selects stocks with turnover between 3% and 12%, applies a reversal filter, and keeps candidates whose daily percentage change is between −5% and −4%. The accompanying Python example describes calculating a candle-range ratio from daily highs, lows, and prior close, then joining selected names with valuation and market-cap fields.

The article characterizes the screen as simple and likely to return candidates, while warning that volatile markets can cause filtering errors and that a small number of conditions may admit noise. It suggests adding trend, volume, or valuation measures, but supplies no backtest, return statistics, or evidence that the screen predicts subsequent performance. The displayed formula's standard-deviation expression does not clearly match the stated daily-decline rule, so the implementation should be checked before use.

Key ideas

• The screen combines 3%–12% turnover, a reversal-style candle filter, and a daily decline between −5% and −4%.
• Its Python example estimates candle structure using the high, low, and prior close to create a reversal condition.
• The article warns that volatility can create screening errors and that few filters may leave substantial noise.
• It provides no backtest or evidence of future returns, and its formula should be checked against the stated rule.

Tags

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