Screening Chinese Stocks by Turnover, Seven-Day Declines, and Opening Gap

Summary

This proposed Chinese stock screen combines a turnover ratio between 3% and 12%, seven consecutive days of falling prices, and an auction-period price change greater than -2% and below 5%. The article presents these conditions as a way to identify stocks after a sustained decline while accounting for trading activity and the pre-open move. It includes formula and Python examples, though their implementations do not align perfectly with the stated conditions: the Python example checks lows against opens rather than seven consecutive daily declines.

The post offers no backtest, performance data, or evidence that the screen predicts returns. It cautions that the rules omit company fundamentals and that auction price changes can be volatile. It suggests adding valuation or technical measures, but does not specify how to combine them, test them, or manage resulting signals. The screen is therefore a hypothesis for further research, not a validated strategy.

Key ideas

• The proposed screen requires turnover between 3% and 12%.
• It seeks stocks with seven consecutive daily declines and an auction price change between -2% and 5%.
• The article supplies example formulas, but its Python condition differs from the described consecutive-decline rule.
• The screen omits company fundamentals and provides no performance evidence.
• The author suggests adding valuation or technical measures, without defining or testing those additions.

Tags

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