Screening Chinese Stocks by Turnover, Prior-Day Leaderboard, and Drawdown

Summary

This stock screen combines a turnover range of 3% to 12%, appearance on the prior day’s market leaderboard, and a stated intraday drawdown between 4% and 5%. The article frames turnover as a liquidity filter, leaderboard presence as a sign of market attention, and the decline as a way to find stocks that may have undergone a sharp short-term pullback. It includes formula and Python examples for applying the filters.

The method is a candidate-selection rule, not a complete trading system: the article advises supplementing it with technical analysis, trend assessment, and risk controls. It also recognizes that the screen omits fundamentals such as profitability and industry outlook, and that recent declines can expose investors to market risk. No backtest, performance data, or detailed entry and exit rules are presented. There is also a discrepancy between the prose describing today’s decline and the examples, which reference prior-day high and close data, so the intended timing of that condition is unclear.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and prior-day leaderboard presence.
• It adds a price decline condition intended to capture stocks with a sharp recent pullback.
• The article treats liquidity and market attention as the rationale for the filters.
• It recommends adding technical, trend, and fundamental review alongside risk controls.
• No performance evidence is provided, and the examples leave the decline condition’s timing ambiguous.

Tags

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