Screening Chinese Stocks by Turnover, Reversal, and Volume Ratio
Summary
The document presents a Chinese equity screening rule combining a 3% to 12% turnover-rate range, a reversal or engulfing-style price pattern, positive daily return, and a volume ratio between 1.5 and 6. It further limits the universe to listed Shenzhen stocks and refers to a market-capitalization condition in an example screening expression. A Python example outlines calculating a reversal measure from daily highs, lows, and the prior close, then joining price and turnover data to filter candidates.
The accompanying rationale is that turnover and volume activity may identify liquid, actively traded shares, while the reversal pattern may help locate stocks showing renewed strength. The article itself provides no performance results or tested selection dates beyond an example data date. It warns that the screen omits company fundamentals and may overemphasize short-term trading activity; adding fundamental or other technical measures is suggested, but no validation of those additions is shown.
Key ideas
- The screen combines a turnover range, a reversal pattern, positive daily return, and a volume-ratio band.
- Its stated universe is listed Shenzhen stocks, with an additional market-cap condition in the sample expression.
- The article proposes liquidity and trading activity as reasons for the turnover and volume filters.
- No backtest or measured performance is supplied, and the screen does not account for fundamentals.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.