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

Summary

This document describes a Chinese equity screen combining turnover between 3% and 12%, seven consecutive down days, and a morning price condition below 6%. It presents the setup as a way to find stocks in a pullback while accounting for trading activity and early-session price behavior. It also sketches how the conditions might be expressed in screening formulas and a Python selection routine, though the examples use different price fields and indexing conventions that would need checking before use.

The document cautions that the screen relies on only a few price and turnover criteria and omits broader technical, industry, market, and fundamental information. It suggests supplementing the conditions with measures such as RSI, moving averages, momentum, money flows, earnings, and valuation. It provides no backtest, performance evidence, or detailed execution rules, so the stated rationale should be treated as a hypothesis rather than a demonstrated trading edge.

Key ideas

• The screen combines a turnover range with seven consecutive declining sessions and an early-session price constraint.
• The article frames the setup as a way to identify stocks undergoing a pullback.
• Its formula and Python examples may differ in their data timing and price definitions, so implementation details require validation.
• The screen omits fundamental, industry, and broader market conditions.
• The article recommends testing additional technical and financial filters but supplies no performance results.

Tags

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