Combining Turnover, Reversal Candles, and Company Filters in a Stock Screen

Summary

This Chinese equity screen combines turnover between three and twelve percent with a reversal-candle condition and a company-status filter. The example formula also requires a low price below a stated threshold, a candle ratio measure at or below 0.2, and exclusion of stocks marked with a particular special-treatment status. The Python example estimates the ratio from the day’s high and low relative to the previous close, then ranks qualifying shares by trading amount.

The article presents the approach as a way to combine trading activity, price shape, and company attributes. It cautions that the screen can still select weak performers because it lacks fuller fundamental checks, and that the company classification may be imperfect. The suggested refinements include valuation measures and more carefully defined status filters. The implementation references a particular trade date and ranking source, but no test results or evidence of profitability are provided; the described conditions should therefore be treated as a screening example rather than a validated strategy.

Key ideas

• The example requires turnover between three and twelve percent and a candle ratio no greater than 0.2.
• The formula also applies a low-price threshold and excludes specially treated stocks.
• The Python example ranks matches by trading amount after merging price and turnover data.
• The article recommends adding valuation checks and improving the company-status filter.
• No backtest or evidence of profitability is reported.

Tags

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