Screening Chinese Stocks by Turnover, Three Declining Sessions, and Bollinger Position

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, three consecutive declining sessions, and a closing price above the middle Bollinger band but below its upper band. The post frames the three-session decline and Bollinger position as market-sentiment and price-location filters. It also provides examples of expressing the conditions in screening formulas and Python, though the examples do not align perfectly with the stated rules: one formula checks moving-average declines, and the Python example uses closing-price sequences as a proxy for declining sessions.

The article warns that the screen depends heavily on market conditions and omits company fundamentals and industry characteristics, which may make results unstable. It suggests combining sentiment signals with fundamental and industry factors, and applying stop-loss and profit-taking rules. No backtest, return data, or evidence of effectiveness is presented. The screen is therefore best understood as a simple candidate-selection recipe whose implementation details and predictive value require independent validation.

Key ideas

• The screen combines a turnover range, three declining sessions, and a close between the middle and upper Bollinger bands.
• The article provides formula and Python examples, but some implementation details differ from the stated conditions.
• The selection relies on market and price signals and does not incorporate company fundamentals or industry characteristics.
• The author recommends adding complementary factors and defining exit and risk controls.
• No performance testing is reported.

Tags

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