Chinese Stock Screening with Turnover, Reversal Candles, and Fund Holdings

Summary

This note outlines a Chinese equity screen combining daily turnover between 3% and 12%, a reversal-candle condition, and evidence of institutional fund buying. Its code examples estimate the reversal condition from the prior close relative to the day’s high and low, then retain stocks whose calculated measure is at most 0.2. Fund ownership data are aggregated by stock, and candidates are filtered by the resulting holding share; the example also limits selection to Shanghai- or Shenzhen-listed shares.

The author cautions that institutional buying can be misread and that a screen based on a small number of factors may miss other candidates. The note suggests adding valuation measures and examining why institutions are buying. It provides sample formulas and Python snippets, but no backtest, performance evidence, or detailed validation of the indicators. The data dates in the sample are fixed, so they illustrate implementation rather than a tested, reusable trading process.

Key ideas

• The screen combines a 3%–12% turnover range with a reversal-candle measure and institutional fund holdings.
• The sample reversal calculation compares the prior close with the current session’s high and low range.
• Fund holdings are aggregated by stock and filtered using each stock’s share of total holdings in the sample.
• The author warns that institutional buying signals can be wrong and that a narrow screen may omit other opportunities.
• The examples do not provide backtest results or validate the strategy’s predictive value.

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