Chinese Stock Screening with Turnover, Reversal, and Seven-Day Weakness

Summary

This note describes a main-board Chinese equity screen using turnover between 3% and 12%, a reversal-pattern condition, and a seven-day decline condition. It presents the combination as a way to find stocks that have fallen persistently while retaining moderate trading activity. The article also outlines possible extensions, including adding valuation, sector-flow, or market-positioning measures, and discusses the limited attention paid to company fundamentals and policy conditions.

The note supplies example formula and Python snippets, but their implementation does not fully establish the stated setup: the formula’s rolling-low comparison is not an unambiguous test for seven consecutive down days, and the Python example mixes stock and futures data and does not clearly implement the reversal condition. No performance results or validation are provided. The screen should therefore be read as a rough selection idea whose indicator definitions, data joins, and historical behavior require independent checking.

Key ideas

• The proposed screen combines a 3%–12% turnover band with a reversal signal and a seven-day weakness condition.
• The author frames moderate turnover and persistent declines as the core selection features.
• The article suggests adding valuation, sector-flow, or market-positioning inputs to broaden the analysis.
• The examples do not clearly implement every stated condition, so the signal definitions need verification.
• No backtest evidence is provided to establish the screen’s profitability or risk profile.

Tags

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