Screening for Seven-Day Declines with Turnover and Valuation Filters

Summary

This note proposes screening Chinese stocks for turnover between 3% and 12%, a quoted share price of 18.5 yuan, and seven consecutive declining sessions. Its initial description relies on those price and turnover conditions, while the example implementation adds market capitalization, price-to-earnings, and price-to-book limits. The article ultimately recommends broadening the fixed-price condition and combining the decline pattern with valuation and other technical indicators.

No empirical test or evidence of returns is provided. The note recognizes that a simple price-and-decline filter can produce too many or too few candidates and can miss other potentially undervalued stocks. The fixed share price is unusually narrow and may be sensitive to price changes such as corporate actions; the sample code's rolling comparison also may not exactly represent seven consecutive daily declines. Any implementation would need precise definitions and validation.

Key ideas

• The proposed filter combines a fixed share price, a turnover range, and a seven-session decline streak.
• The code example adds market-capitalization and valuation limits absent from the initial rule.
• The article suggests using a price range and additional technical or fundamental checks.
• It provides no performance evidence, and the decline condition needs precise implementation.

Tags

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