Chinese Stock Screening with Turnover, Reversal, and Revenue Growth

Summary

The document describes a Chinese equity screen combining turnover between 3% and 12%, a reversal pattern, and revenue growth. Its final rule compares 2021 revenue with 2018 revenue, requiring the ratio to exceed 1.1, then ranks selected shares by market capitalization. It also offers a code example that joins daily turnover data with revenue and company information.

The article provides no backtest, performance figures, or evidence that the screen predicts returns. It cautions that relying on a reversal signal and revenue growth alone can misclassify stocks, overlook other financial and technical factors, and select overvalued companies. It suggests adding valuation, profitability, industry, and macroeconomic measures, but does not specify how to implement or test those additions. The code's reversal-related data handling is not clearly connected to the stated equity signal, so the implementation should be treated as illustrative rather than validated.

Key ideas

• The screen requires turnover between 3% and 12% and a reversal pattern.
• It selects companies whose 2021 revenue is more than 1.1 times their 2018 revenue.
• The example ranks candidates by market capitalization and joins financial and daily market data.
• The document reports no performance test and warns that the selected criteria can miss risks or quality stocks.

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