Chinese Stock Screen Using Turnover, Ten-Day Return, and Prior Low

Summary

This stock-selection example combines turnover between 3% and 12%, a positive ten-day gain below 35%, and a closing price above the previous day’s low. The article frames the filters as a way to capture trading activity and short-term price strength, with the prior low adding a recent price reference. It includes a conditional description, a market-screening expression, and a Python example using daily stock data. The author also suggests adding volume-price or fundamental factors to build a broader model.

The article characterizes the screen as simple and sensitive to short-term trends, and warns that checking only the previous day’s low may overlook other price movement. It gives no backtest, performance figures, transaction-cost analysis, or portfolio and exit rules. The implementation’s ten-day condition uses the mean of recent daily percentage changes, while the prose describes a ten-day gain; these are not necessarily equivalent. The examples therefore clarify a possible screening workflow but do not establish a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12% and a positive ten-day price change below 35%.
• It also requires the close to exceed the previous day’s low.
• The article supplies screening and Python examples but no performance evaluation.
• The author notes that relying on these limited price and activity measures can be unstable.
• The code’s average daily percentage change condition may differ from a cumulative ten-day return.

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