Chinese Stock Screening by Turnover, Reversal, and 10-Day Return

Summary

This stock selection screen combines a turnover range of 3% to 12%, a reversal pattern described as a bullish engulfing or recovery move, and a 10-day return above zero but below 35%. It is presented as a way to find Chinese equities with recent activity and positive, bounded momentum. The document gives formula references and a Python outline, though the sample implementation appears incomplete and has inconsistencies between the stated 10-day return condition and the daily return field it filters.

The author argues that combining turnover, reversal, and recent gains may help identify candidates, but provides no backtest, portfolio results, or evidence that the screen predicts future returns. The text cautions that it omits company fundamentals and that strict filters may produce a narrow, unrepresentative list. It suggests adding technical and valuation measures and loosening the selection conditions, without testing those changes.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and positive returns below 35% over ten days.
• A reversal condition is combined with turnover and recent price appreciation.
• The provided code outline is incomplete and may not implement the stated ten-day return filter consistently.
• The document reports no measured strategy performance and flags missing fundamental analysis and narrow coverage.

Tags

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