Screening for Seven-Day Declines, Turnover, and Small Float

Summary

This document describes a Chinese equity screen that selects stocks with turnover between 3% and 12%, seven consecutive daily declines, and a circulating share count no greater than 5.5 billion. It frames the falling-price pattern and smaller float as selection criteria, and offers example formulas for implementing them with market data. It also suggests adding valuation measures and technical indicators such as RSI, MACD, or moving averages for further filtering.

The document provides no backtest, performance figures, or evidence that the screen predicts returns. It warns that the rules omit company fundamentals and broader market risks, and that float data may be stale. The examples depend on correctly mapped data fields; the Python rolling comparison may not precisely implement seven consecutive day-over-day declines, so its behavior should be checked before use. The criteria are presented as a candidate screen, not a validated investment strategy.

Key ideas

• The screen requires turnover between 3% and 12%, seven consecutive down days, and a circulating share count at or below 5.5 billion.
• The document suggests adding valuation and technical measures to refine the stock selection.
• It gives implementation examples but no backtest or performance evidence.
• Stale float data and the omission of fundamentals and market risk are cited as limitations.

Tags

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