Chinese Stock Screening with Reversal and Turnover Filters

Summary

This note outlines a Chinese equity selection rule using three conditions: daily amplitude above 1%, a reversal pattern, and turnover between 3% and 12%. It includes indicator and Python examples intended to implement the screen. The Python example also ranks qualifying names by a heat measure, but the text does not explain how that measure is constructed. The examples describe the reversal condition differently, so implementation details would need to be checked before use.

The author argues that the turnover band can constrain the search to relatively active securities, while warning that a narrow range may omit stocks and that the simple rule leaves out fundamentals and macroeconomic context. Suggested improvements include adding financial and industry analysis and widening the turnover interval as market conditions change. No backtest, benchmark, or evidence of profitability is reported. The screen is a candidate-generation method rather than a fully specified entry, exit, or risk-management strategy.

Key ideas

• The proposed screen requires amplitude above 1%, a reversal pattern, and turnover from 3% to 12%.
• The note gives both indicator and Python implementations, but their reversal logic differs.
• The Python example sorts qualifying stocks by a heat ranking whose construction is unspecified.
• The author cautions that the rule omits fundamentals and macroeconomic factors.
• No backtest or trading performance evidence is provided.

Tags

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