Screening Chinese Stocks for Seven-Day Declines and Turnover

Summary

This stock screen selects shares whose turnover rate is between 3% and 12%, whose closing price meets a seven-day low condition, and whose previous day's trading value exceeds 60 million yuan. The article presents the liquidity filter as a way to focus on actively traded stocks after a sustained decline, potentially seeking shares with room to rebound. It includes formula and Python examples, though implementation details differ: the formula checks the current amount against a threshold expressed in thousands, while the Python example checks the prior row against 60 million.

The post warns that the narrow screen omits other drivers of price and may fail during unusual market conditions or news events. It suggests adding valuation or size measures and using chart analysis, but provides no backtest, return statistics, or evidence that rebounds follow the signal. The seven-day low condition also needs careful interpretation: a rolling minimum alone does not necessarily establish seven consecutive daily declines.

Key ideas

• The screen combines a turnover-rate band, a seven-day decline condition, and a minimum trading-value filter.
• The stated thresholds are a turnover rate from 3% to 12% and prior-day trading value above 60 million yuan.
• The examples use different amount references, so implementations should reconcile units and which day's amount is tested.
• A rolling seven-day low does not by itself prove that prices fell on every one of the seven days.
• The post gives no performance results and cautions that news and omitted factors can undermine the screen.

Tags

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