Chinese Stock Screen Using Turnover and Three Consecutive Down Days

Summary

This Chinese equity screening rule combines a turnover filter with a recent price pattern and listing-year condition. It selects stocks with turnover between 3% and 12%, listed in 2021, whose closing prices have fallen for three consecutive days. The post also includes example indicator and Python implementations, though the supplied code does not clearly implement every stated condition.

The author frames the screen as a way to find actively traded stocks after a short decline, potentially seeking a buying opportunity. No backtest, performance figures, or empirical evidence are provided. The post cautions that the rule focuses heavily on recent price action and omits market, industry, and fundamental context; it also says a simple pattern can be exploited. It suggests adding broader indicators and risk management, but does not define or evaluate those additions. The screen should therefore be treated as a hypothesis rather than a demonstrated strategy.

Key ideas

• The screen requires turnover between 3% and 12% and a 2021 listing year.
• It looks for three consecutive declining daily closes as a possible entry signal.
• The post provides example implementations, but their conditions do not fully align with the stated screen.
• No performance evidence is reported, and broader market, industry, and company factors are omitted.
• The author recommends adding complementary analysis and risk controls.

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