Screening Chinese Stocks for Seven Down Days and Elevated Relative Volume

Summary

This document describes an A-share screen for stocks with turnover between 3% and 12%, seven consecutive declining sessions, and a volume ratio between 1.5 and 6. The volume ratio is calculated against a five-session average. The article presents the pattern as a possible way to find stocks that have fallen while trading activity remains elevated, with potential for a rebound.

It provides a formula and a Python example, and suggests adding indicators such as RSI, MACD, moving averages, fundamental measures, and sentiment inputs. The article cautions that the screen ignores market-wide risk and company fundamentals, and may fit historical conditions poorly. No backtest or return evidence is included, and the rebound rationale is a hypothesis rather than a demonstrated result.

Key ideas

• The screen requires turnover from 3% to 12% and seven consecutive lower closes.
• It filters for current volume between 1.5 and 6 times its five-session average.
• The author presents rebound potential as a rationale but supplies no performance evidence.
• Market risk, fundamentals, and changes in market conditions are identified as limitations.

Tags

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