Chinese Stock Screening with Turnover, Ten-Day Gains, and Bollinger Bands

Summary

The document presents a Chinese stock selection screen combining turnover, recent price change, and Bollinger Band position. It seeks shares with turnover between 3% and 12%, a positive gain over ten days below 35%, and a closing price between the lower Bollinger Band and the middle line for a 20-period, two-standard-deviation setup. The accompanying code also applies additional universe filters, including excluding certain board listings, recently listed stocks, and stocks flagged as special treatment, and screens out companies below a market-cap threshold.

The article describes the screen as a way to constrain liquidity and recent movement while selecting prices in a lower band region. It suggests adding technical and financial measures for broader analysis, and explicitly cautions that abnormal moves and unexpected events remain possible and that Bollinger Bands cannot guarantee profitability. It supplies illustrative formulas and sample code, but no backtest results or evidence that the rules produce returns. The code’s price check appears inconsistent with the stated lower-band-to-middle-line criterion, so the implementation should be checked before use.

Key ideas

• The screen combines turnover, ten-day price change, and Bollinger Band position.
• It targets stocks with turnover from 3% to 12% and ten-day gains above zero but below 35%.
• The stated price condition places the close between the lower Bollinger Band and the middle line.
• The sample code adds listing, special-treatment, and market-cap filters.
• The article notes that the indicator does not ensure profitability and suggests combining other analyses.

Tags

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