Chinese Stock Screen Using Turnover, a Reversal Pattern, and a Regional Exclusion

Summary

This note proposes screening Chinese A-shares for a turnover rate between 3% and 12%, excluding Beijing-listed stocks, and retaining stocks identified as forming a reversal or “reversal package” pattern. The accompanying example describes joining a stock list to an externally maintained pattern list, then applying turnover and location filters. It also filters out names containing an ST designation and drops records missing price-to-book or price-to-earnings data, before returning a limited candidate list.

The article characterizes turnover and the pattern as the main selection inputs, while warning that market sentiment, company fundamentals, and other factors are omitted. It recommends adding market, industry, and financial information, or exploring machine-learning methods. No backtest or evidence of returns is supplied, and the reversal classification depends on a separately sourced list whose definition and timing are not explained. The example’s data fields and filters should be checked against the chosen provider, particularly because the listed source fields do not clearly include every field later referenced. This is a screening sketch, not a fully specified or validated trading system.

Key ideas

• The screen combines a 3%–12% turnover range with a reversal-pattern list and excludes Beijing A-shares.
• The code example also filters ST-designated names and removes records lacking valuation data.
• The pattern list’s definition and timing are not explained.
• The article warns that turnover and location alone omit important market and company factors.
• No backtest or performance evidence is presented.

Tags

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