Chinese Stock Screen Using Turnover, Three Down Days, and the Five-Day Average

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12% that have closed lower for three consecutive days while the stock’s average price remains above its five-day moving average. The combination looks for a short run of falling prices occurring alongside a price level above a short-term trend reference. The document also includes example formula and Python snippets, but does not report a backtest or performance evidence.

The screen is described as relying on technical conditions alone. Its own discussion notes that it omits company fundamentals such as earnings per share and return on equity, and suggests testing fundamental filters or other moving-average periods. The stated rules leave some implementation details unclear, including how turnover and “average price” are measured; the sample code uses volume-based calculations as a turnover proxy. Results may therefore vary across data sources and interpretations, and the document provides no evidence that the filter improves returns.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt looks for three consecutive down days while price remains above the five-day moving average.\nThe approach uses technical filters and does not assess company fundamentals.\nThe document offers implementation examples but reports no performance results.

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