Screening Equities by Turnover, Three Down Sessions, and Stock Heat

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, a three-session declining pattern, and high individual-stock heat, ranked from hottest downward. The accompanying explanation treats turnover as a way to target trading activity, the declining pattern as a short-term price trend, and the heat ranking as a measure of market attention. It supplies indicator and Python examples, though the implementation details do not consistently match the described ranking: the sample Python sorts stock codes rather than a heat measure, and its price checks may not correspond exactly to three bearish candlesticks.

The note offers no backtest, performance results, or evidence that heat predicts returns. It warns that historical price movement may not persist, the popularity measure may be noisy, and the screen can be subjective or overly narrow. Suggested refinements include adding fundamental and technical factors and using broader market measures in place of the heat indicator. The screen is therefore best understood as a candidate-generation rule that would require precise signal definitions and out-of-sample evaluation before informing trades.

Key ideas

• The screen combines turnover between 3% and 12% with a three-session decline and a descending stock-heat ranking.
• The rationale is to combine activity, recent price weakness, and market attention.
• The sample code's sorting logic does not implement the stated heat ranking.
• The document presents no measured results and cautions that historical moves and heat may be unreliable.
• Broader indicators and validation are needed before treating the screen as a trading strategy.

Tags

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