Screening Chinese Stocks by Turnover, Reversal Pattern, and Positive P/E

Summary

This stock screen filters for a daily turnover rate between 3% and 12%, a pattern labeled “reversal” or “reverse engulfing,” and a positive price-to-earnings ratio. Its formula operationalizes the pattern with a range-based ratio threshold, while the Python example calculates related values from daily highs, lows, and the previous close. The example also removes some stocks and checks the P/E condition. The post frames turnover as a measure of trading activity and P/E as a basic valuation filter, then suggests adding financial statement and growth measures.

The document offers no historical test or evidence that this combination produces positive returns. The reversal label is not precisely explained, and the formula and Python implementation may not capture the same pattern or use consistent data. A positive P/E alone does not establish attractive valuation or growth, while turnover can vary with liquidity and market conditions. The screen needs clear signal definitions and out-of-sample testing before it can support a trading decision.

Key ideas

• The screen combines turnover from 3% to 12%, a reversal-pattern condition, and positive P/E.
• The formula represents the reversal condition with a range-based ratio threshold.
• The Python example calculates range measures from daily price data and applies a P/E filter.
• The article suggests adding financial statements and growth measures to improve fundamental coverage.
• It presents no performance evidence, and the reversal definition is not fully specified.

Tags

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