Screening Chinese Stocks by Turnover, Three Down Days, and Recent Gains

Summary

This document describes a Chinese equity screening rule combining a turnover-rate band of 3% to 12%, three consecutive declining sessions, and at least one daily gain of 10% or more during the previous 25 trading days. The stated rationale is to pair signs of recent price strength with a short pullback and moderate trading activity, seeking candidates with potential while filtering for volatility and liquidity. It also suggests adding indicators such as relative strength and volume for a broader screen.

The post provides indicator-formula and Python examples, but their implementations do not consistently match the written rule: the Python checks a recent multi-day close return against the turnover range, and the indicator formula uses moving-average declines as a proxy for three down days. No historical test, performance figures, or execution rules are supplied. The screen is therefore a candidate-selection idea, not evidence of a profitable strategy; it omits broader market conditions, fundamentals, transaction costs, and explicit risk controls.

Key ideas

• The screen combines turnover between 3% and 12% with three consecutive declining sessions.
• It also requires a daily gain of at least 10% within the prior 25 trading days.
• The rationale is to combine recent strength with a short pullback and active trading.
• The post recommends adding indicators such as relative strength and volume.
• The example implementations differ from the written criteria, and no performance evidence is reported.

Tags

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