Chinese Stock Screen: Turnover, Seven Declines, and Company Size

Summary

This post describes a Chinese stock selection rule using three filters: turnover between 3% and 12%, seven consecutive daily declines, and company scale above 200 million. It provides example formula logic and Python-style selection code, then suggests that investors could add fundamental, technical, or factor measures such as profitability, growth, valuation, and market performance. The stated rationale is to combine trading activity, recent weakness, and company size when forming a candidate list.

The post does not report a backtest, portfolio construction rules, entry or exit timing, or performance evidence. It warns that a size-based screen can over-rely on market labels and may adapt poorly as market or macroeconomic conditions change. The implementation details also need careful validation: the text alternates between company scale and market value, and the example code’s rolling comparison should be checked against the intended definition of seven consecutive down days. This is a screening idea, not a demonstrated profitable strategy.

Key ideas

• The screen selects stocks with turnover between 3% and 12%, seven consecutive declining days, and company scale above 200 million.
• The post supplies formula and code examples for implementing the filters.
• It proposes adding fundamental, technical, or factor measures to broaden the selection criteria.
• The post gives no performance test and flags risks from size-based classification and changing market conditions.
• The sample implementation should be checked to ensure its decline and size conditions match the stated rule.

Tags

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