Chinese Stock Screening with Turnover, Reversal, and Prior Limit Status

Summary

This screen selects Chinese equities with turnover between 3% and 12%, a reversal-style candlestick pattern, and no limit-up session on the previous day. The reference implementation approximates the reversal condition by comparing the prior close with the current session’s high and low; it keeps stocks where the smaller normalized distance to either end of the day’s range is at most 0.2. A separate filter removes stocks listed as limit-up on the prior trading date.

The document provides screening logic and sample formulas, but no backtest, performance statistics, or evidence that the criteria produce an edge. Its own discussion notes that the screen may overlook short-term behavior and liquidity, and suggests adding technical or fundamental filters. The code also uses a fixed historical date, and its turnover and reversal conditions should be checked against the intended definitions before use. These limitations make it a candidate selection rule rather than a validated trading strategy.

Key ideas

• The screen combines a 3% to 12% turnover range with a reversal pattern.
• It excludes stocks that hit the daily upper price limit on the previous session.
• The sample defines reversal through the current high-low range and distances from the prior close.
• The document provides no performance test and flags incomplete consideration of liquidity and short-term behavior.

Tags

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