Screening for Chinese Stocks with Three Down Days and High Turnover

Summary

The document proposes screening Chinese shares for turnover between 3% and 12%, three consecutive declining sessions, and a today-increase-position ratio above 5%. It frames the combination as a way to find stocks with recent weakness and possible future potential, combining a short-term activity measure, a price pattern, and a positioning statistic. It also suggests that thresholds such as the position-ratio cutoff could be adjusted and that additional technical or fundamental factors might broaden the analysis.

The post offers sample Python code but no stock selections, backtest, or performance evidence. The code does not clearly implement the stated turnover band, and its row indexing and field meanings are not sufficiently explained to establish that the three-day and position-ratio conditions are calculated as described. The article acknowledges that short-term turnover and position data may be unreliable, particularly for lightly traded shares. The screen is therefore an unvalidated selection concept, and it does not specify entry timing, exits, or portfolio risk controls.

Key ideas

• The proposed screen requires turnover between 3% and 12% and three consecutive declining sessions.
• It also applies a threshold above 5% to a measure described as today's increase in positions.
• The author suggests adding technical or fundamental information and adjusting thresholds.
• The sample code does not clearly show that all stated criteria are implemented correctly.
• The post provides no evidence from backtesting or live trading.

Tags

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