Chinese Stock Screening with Turnover, Ten-Day Gain, and Two-Day High

Summary

This note describes an equity screen combining turnover, recent price performance, and a short-term high. It selects stocks with turnover between 3% and 12%, a positive ten-day gain below 35%, and a current high equal to the highest high over the last two days. The stated rationale is to use turnover and recent momentum alongside a near-term price signal.

The document offers an indicator formula and a Python example, but the implementation does not clearly match the described thresholds: it averages positive turnover observations, uses a different return calculation, and contains checks that may not represent the stated ten-day gain. No backtest results or performance evidence are provided. The note cautions that technical signals can be sensitive to sentiment and short-term flows, and suggests adding fundamental analysis and risk controls. The screen is therefore a candidate selection rule, not evidence of an effective standalone strategy.

Key ideas

• The screen requires turnover between 3% and 12% and a positive ten-day gain below 35%.\nIt also selects stocks whose current high equals the highest high across the current and prior day.\nThe document supplies formula and Python references, though the Python logic does not fully align with the stated screen.\nIt recommends considering company fundamentals, market conditions, and risk controls alongside technical signals.

Tags

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