Screening Chinese Stocks for Seven-Day Declines and Moderate Turnover

Summary

This stock screen combines turnover between 3% and 12% with seven consecutive sessions in which the closing price falls, then filters for a daily price change below 2.6% and above -5%. The article presents the rule as a way to find stocks after a sustained decline while constraining recent price movement. It includes a formula reference and a Python-style example that groups price history by stock and excludes suspended shares.

The article offers no backtest, portfolio results, or evidence that the screen predicts a rebound; its discussion of improved selection accuracy is not supported by reported measurements. It warns that the rule ignores company fundamentals and financial condition, and that indicator fluctuations can affect selections. It suggests adding valuation or financial measures and other technical indicators, but does not define or test those additions. The displayed title mentions a different upper price-change bound than the body’s stated filter, so implementation should follow a clarified specification.

Key ideas

• The proposed screen requires turnover above 3% and below 12%.
• It selects stocks whose closing prices fell on each of the previous seven sessions.
• The article’s code example filters the latest price change to less than 2.6% and greater than -5% and excludes suspended stocks.
• The rule does not account for fundamentals and is not supported by reported backtest results.
• The title and body describe inconsistent upper price-change thresholds, which should be resolved before use.

Tags

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