Chinese Stock Screen Using Turnover and Three-Day Price Declines

Summary

This document describes a stock screen for shares whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose prices have declined for three consecutive days. It provides example implementations in indicator-formula syntax and Python, using stock metadata and daily price data to identify candidates. The method combines a listing-code filter, a liquidity-related measure, and recent price direction; it does not report backtest results or evidence that the combination predicts returns.

The accompanying discussion notes that the screen omits company fundamentals and industry context, and that code-based restrictions can exclude otherwise relevant stocks. It suggests adding industry and fundamental analysis and accounting for suspended trading. The examples also contain implementation details that may not exactly match the stated logic: the formula uses moving-average conditions, while the Python checks consecutive closing-price decreases. Data fields and market coverage should therefore be validated before use, and the screen alone provides no risk controls or entry and exit rules.

Key ideas

• The screen targets stocks with codes beginning with 60 and turnover between 3% and 12%.
• It seeks candidates after three consecutive days of declining prices.
• The examples use different calculations, so their behavior may differ from the stated screen.
• The author identifies missing fundamental, industry, and suspension filters as limitations.
• No backtest or performance evidence is provided.

Tags

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