Chinese Stock Screen Using Turnover, Reversal, Volume, and Gap-Up Filters

Summary

The proposed screen selects listed Shenzhen stocks using a turnover rate between 3% and 12%, a reversal or engulfing-style condition, trading volume above 10,000 lots, and an opening gap of at least 5% above the prior close. The article also presents an intraday high and low range condition, with thresholds near 9.8% relative to the previous close, and offers example implementations using market-screening syntax and Python data queries.

The author frames the filters as a way to find active stocks with momentum, while cautioning that the approach omits company fundamentals and that gap-based technical screens may mislead when market conditions or data quality change. Fundamental filters and additional indicators are suggested as possible refinements, but no backtest results or evidence of profitability are provided. The sample code appears to have implementation limitations, including a shifted close series and references to exchange and listing-status fields that are not shown in the queried data.

Key ideas

• The screen combines a 3%–12% turnover range with a reversal condition, volume above 10,000 lots, and a gap-up filter.
• It targets listed stocks on the Shenzhen exchange.
• The article describes the filters as a way to seek active stocks with momentum.
• The author warns that the screen excludes fundamentals and may be affected by changing market conditions or noisy data.
• No performance results are provided, and the sample implementation may require correction.

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