Screening Chinese Stocks by Turnover, Three Down Closes, and Bid–Ask Volume

Summary

The post describes a Chinese equity screening idea that combines a turnover range of 3% to 12%, three consecutive declining closes, and first-level bid volume greater than ask volume. It frames these conditions as a way to find stocks with potential for gains and includes references to indicator logic and a Python example using historical stock data. The example checks price declines and compares reported buy and sell volume before adding a stock to a candidate list.

The author cautions that the screen focuses heavily on trading data and omits company fundamentals, suggesting valuation measures as possible additions. No backtest, benchmark, transaction-cost estimate, or evidence of predictive performance is provided. The sample implementation also appears to calculate turnover using volume ratios, which may not match the stated turnover-rate filter, so its screening results should not be assumed to implement the described rule correctly. The method is a proposal, not a validated strategy.

Key ideas

• The screen combines turnover between 3% and 12%, three declining closes, and bid volume above ask volume.
• The post provides sample formula logic and a Python illustration for forming a stock list.
• It recommends considering fundamental measures because the screen relies primarily on trading data.
• No backtest or evidence of returns is supplied, and the sample turnover calculation may not represent turnover rate.

Tags

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