Chinese Stock Screening with Range, Reversal, and Turnover Filters

Summary

This note describes a Chinese equity screening rule that combines daily price range, a reversal pattern, and a turnover band. It selects stocks with an amplitude above 1%, a reversal signal, and turnover between 3% and 12%. The accompanying examples express these conditions as both indicator logic and a Python filter, though the reversal definitions shown are not fully consistent with each other.

The author presents the turnover range as a way to focus on relatively active stocks, while noting that the rule omits fundamentals and broader market conditions. A narrow turnover interval may also exclude candidates. Suggested refinements include adding financial and industry analysis and adjusting the turnover limits. The note provides no backtest results or evidence that the screen predicts gains, and it does not fully specify how signals should be traded or risk controlled.

Key ideas

• The screen combines price amplitude above 1%, a reversal condition, and turnover between 3% and 12%.
• The reversal condition is described differently in the indicator and Python examples.
• The author identifies missing fundamental and macroeconomic inputs as limitations.
• A narrow turnover band may exclude stocks that could otherwise qualify.
• The document supplies no performance evidence or complete trading plan.

Tags

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