Equity Screen for Seven Down Days and Turnover Limits

Summary

This Chinese stock-selection example screens for equities with current turnover between 3% and 12%, seven consecutive declining closes, and prior-day actual turnover between 3% and 28%. It outlines the conditions in prose and gives example indicator-formula and Python implementations, so readers can see how the filters might be expressed in different tools.

The article describes the screen as relatively conservative and says turnover constraints may exclude volatile stocks whose longer-term direction is positive. It also cautions that market conditions and institutional activity can affect the indicators, making results less reliable. It provides no backtest, performance data, or evidence that the screen predicts returns; it suggests adding technical or fundamental filters and checking data quality. The examples are illustrative and may need adjustment to match a data provider’s field definitions.

Key ideas

• The screen requires turnover between 3% and 12% on the selection date.
• It selects stocks whose closing price fell on each of the previous seven sessions.
• Prior-day actual turnover must fall between 3% and 28%.
• The article provides sample formula and Python implementations but no performance evaluation.
• The author recommends considering additional indicators and checking data timeliness and reliability.

Tags

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